Volatility ratio and price limits: An econometric model and empirical research of China stock market;
波动性比率与涨跌幅限制:一个计量模型及对中国股市的实证研究
Experimental Study on the Effectiveness of Price Limits on Security Markets;
涨跌幅限制对证券市场影响的实验经济学研究
This paper studied the impact of price limits on the volatility in the stock exchange of China in different aspects,by using the model of volatility introduced by Schwert.
运用Schw ert提出的计算波动性方法,从不同角度实证研究了中国证券交易实行涨跌幅限制对股票市场波动性的影响。
Study on the Intraday Market Effect of Price Limits in China;
我国涨跌幅限制的日内效应
Empirical studies of the volatility spillover hypothesis,the delayed price discovery hypothesis,and the trading interference hypothesis can answer this question:Does price limit increase or decrease stock market efficiency? Our empirical studies demonstrate that price limit has a negative effect on market efficiency and it decreases market information efficiency.
通过对波动溢出假说、价格滞后发现假说和交易阻碍假说的实证分析,可以回答涨跌幅限制究竟是促进了市场的效率,还是降低了市场的效率这样一个问题。
We analyze the possible impact of price limit on informed traders behavior and propose three effects caused by price limit.
分析了涨跌幅限制对知情投资者交易行为产生的影响,提出了3种效应,然后综合运用事件研究法和分组比较法,检验了涨跌幅限制在中国股市的运行绩效和股价行为。
The price limit rule is part of the market character.
对比调整前后的离位点数目、VaR值等评估涨跌停限制对流动性风险的影响,并对考虑涨跌幅限制下的VaR计算方法选择、BIS资本乘数设置等进行讨论。
Although the price limit rule is exerted as a policy by regulaters, there is no unify idea in theory or practice.
作为断路机制之一的涨跌幅限制制度,已经成为一项重要的风险控制制度,得到了世界证券交易所和期货交易所的普遍运用。
Based on the time series data of developing institutional investors, this paper constructs a relational model of volatility between the institutional investors of China and the excess price limits of Shanghai Stock Exchange Index.
文章从机构投资者培育的时序数据出发,构建中国机构投资者和上证指数超额涨跌幅之间的波动关系模型;并借助这些变量的时序数据进行计量分析,最后得出实证结论。