涨跌幅

涨跌幅限制：是否稳定了股票市场？&基于GARCH事件模型的实证检验

Price Limits : Stabilize or Destabilize the Markets ? & Direct Test Based on the GARCH-Event Model

由于ST板块实行5%的涨跌幅限制，这种规定限制了股价的过度波动，我们可以看到ST板块日收益的最大值和最小值之间的差距是最小的。

As the implementation of ST plate a 5 % price limit , which limits the stock price fluctuations , we can see that the income gap between the maximum and the minimum is the smallest .

从提高流动性，减少流动性波动性的角度出发，应该放宽正负10%的涨跌幅限制。

So we should broaden the price limit to increase liquidity .

涨跌幅限制与知情投资者行为：基于中国实证

Price limit and informed investor behavior : Evidence from China stock market

涨跌幅限制与流动性研究

The Study on Price Limits and Stock Market Liquidity

上海股市涨跌幅限制的磁吸与冷却效应研究

The Study on Magnet and Cooling-off Effect of Price Limit in Shanghai Stock Market

当市场投资者构成中噪音交易者比例很小的情况下，涨跌幅限制制度反而将增加过度波动程度。

While there are few noise traders , such institute will increase the degree of excess volatility .

对于股票在达到涨跌幅限制后价格如何变化的解释有两种假设：信息假设和过度反应假设。

The overreaction hypothesis and the information hypothesis are two major hypotheses regarding the effects of price constrains on stock price behavior .

股本规模、涨跌幅限制与磁石效应&基于沪深A股市场高频数据的实证研究

Scale Stocks , Price Limit and Magnet Effect & Empirical Study on High-frequency Data of the Shanghai and Shenzhen A Stock Markets

涨跌幅限制主要抑制了B股的过度波动，没有阻碍价格反应信息的过程，即不会扭曲股价行为；

Price limits restrain the excessive volatility of B-share , whereas up-limits affect the fundamental volatility of B-share and distort the price behavior .

结果表明，中国股市当前10%的涨跌幅价格限制率会降低市场效率，而且不能降低市场的波动。

The results show that 10 % of the price limits on the Chinese stock market affected market efficiency and could not reduce market volatility .

此外，从不同价格波动限制方式的影响来看，选择弹性涨跌幅限制可较好地发挥价格限制的好处，减小价格限制的不利影响。

In addition , in comparison with other price limit system , flexible price limit plays a better role in reducing price volatility and minimizing its negative impact .

市场中有限理性投资者占大多数，但并不能忽略噪音交易者的力量，其数量上在投资者总体中仍占有相当比重的条件下，涨跌幅限制幅度的大小对于过度波动程度的改变没有明显的差异。

While there are considerable but not a large number of noise traders , the existence of price limit institute has little influence on the degree of excess volatility .

本文得出的结论是，与没有价格限制的基准实验相比较，动态和静态涨跌幅限制都显著的抑制了价格对基础价值的偏离，提高了市场的信息反映程度。

Experimental results show , as compared with the experiments without price limits , both dynamic and static price limits can eliminate the price bubbles in the markets and improve the information efficiency significantly .

作为上市公司相对投资价值判断的新方法，对评价结果用模拟投资组合的方式将其收益率和大盘指数同期涨跌幅作了对比。

As a new way to judge relative investment value of listed companies , the paper will conclude a positive result by comparing investing yield ratio of portfolio with that of stock index in the same term .

发现涨跌幅限制对知情投资者交易行为产生重要影响，主要表现在当均衡价格与当前股价有较大偏离时，涨跌幅限制会使知情投资者推迟当前的交易，延缓了均衡价格的实现。

Our finding is that price limit policy will bring significant effect to the trading behavior of insiders , which means price limit policy will impede the fulfillment of insiders ' trading activities and delay the discovery of equilibrium price .

本文研究还表明，解禁时的涨跌幅还与当时的市场环境密切相关，牛市中的解禁对市场冲击较小，而熊市中的解禁带来的冲击较大。

This paper also shows that the range of market fluctuating is closely related to market environment . In the bull market lockup expiration makes a large impact , and in the bear market lockup expiration makes a small impact .

因此，涨跌幅限制这项机制可能会影响交易者在报价时的理性程度。（3）从市场成交价的信息传递效率来看，不论有无涨跌幅限制，市场均存在一定程度的非效率性。

So price limits may influence the rationality of the traders in quoting . ( 3 ) From the perspective of the information-transfer efficiency of market prices , whether or not there are price limits , the market has some degree of inefficiency .

结果发现，涨跌幅限制截断了期货日内价格变化的极端行为，造成期货报酬率分布的峰态减缓，并对极值分布的参数估计、保证金不足的概率估计与保证金比例的设定均有影响。

I found that futures price limits cut off the extreme behavior of price changes days , so the distribution of futures returns kurtosis slow , on the extreme value distribution parameter estimation , less than the probability of margin estimates and margin settings have affected the ratio .

此外期货涨跌幅限制与保证金对于降低期货价格波动性有替代效果，较窄小的涨跌幅限制可以降低期货价格的波动，有助于控制期货的违约风险，因此须要求相对较低的期货保证金比例。

In addition , futures price limits and margin for the futures price volatility have lower substitution effect , narrow small price limits reduce the volatility of futures prices to help control the futures of default risk , it is necessary to lower the relative demands of margins .

资产价值的波动性越大，市场的信息效率越差。（4）不管是否存在涨跌幅限制，知情交易者的平均交易收益都多于非知情交易者，但这一点在统计上并不显著。

The bigger the swing range , the less the information-transfer efficiency of the market . ( 4 ) With or without price limits , the average proceeds of informed traders were more than uninformed traders , but there was not a statistically significant difference between the two scenarios .