Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

The Research on the Effects of Price Limit Rule on Chinese A-Share Market

Author ZhangCuiMin
Tutor RenDa
School Tianjin University
Course Management Science and Engineering
Keywords Price limits Volatility spillovers Delayed effects of price discovery The interference effect of liquidity
CLC F832.51
Type Master's thesis
Year 2009
Downloads 52
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The system of price limits the Stock Markets use of price stabilization measures. This is the starting point of the Topics in this article the operation mechanism of the system of price limits is important for policy makers and investors, but academia on the practical effect of price limits, but there is a fierce debate. System of price limits from the three aspects of validity, volatility, liquidity of the empirical analysis of the system, aimed at the analysis system of price limits on China's stock market, in order to examine the effect of this system for securities regulatory authorities to provide a basis for policy formulation, to promote the development of the stock market. Paper uses event study and packet combining empirical analysis of the interference effect of the delayed effects of the spillover effects of volatility and liquidity, from a statistical point of view to analyze the effects of the operation of the system of price limits; use of the system of price limits may lead to price discovery Correlation Analysis Method Change to stop the relationship between the frequency of the equity scale, from another point of view to analyze the system of price limits on stock market volatility; the constructed regression analysis different scale stock reaches Change stop at the two-day, The turnover rate of change in three days, the research system of price limits for the different sizes stock liquidity. The view from the empirical results, the system of price limits in the implementation of China's A-share market has brought a broad impact: 1. Daily limit led to price discovery interference effect of the delayed effects and mobility, daily limit led to price discovery delay effect. Description of the system of price limits to some extent distorted price behavior and the daily limit of the board and the daily limit on stock price is asymmetrical. Research and analysis by comparing concluded between the equity scale and frequency of limit moves a significant negative linear relationship. The study results will provide regulatory agencies classified amplitude provide a theoretical basis for adjusting the price limits. The results of the regression analysis, Change stop after a day of massive stock turnover did not significantly change in trend, the day after the daily limit of the small-scale stock turnover significantly increasing trend, indicating that the system of price limits of different sizes have different effects on stock liquidity. The conclusions of this study will be the stock market regulators to develop policies to provide information, to provide a reference for the investors to make investment decisions.

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