商业经济与管理
商業經濟與管理
상업경제여관리
Business Economics and Administration
2008年
7期
42~48
,共null页
涨跌幅限制机制 公司治理 流动性
漲跌幅限製機製 公司治理 流動性
창질폭한제궤제 공사치리 류동성
price limits; corporate governance; liquidity
文章在现有文献研究的基础上引入公司治理水平，建立比例logist模型，区分涨幅和跌幅限制、牛市和熊市的不同情况来研究中国股票市场涨跌幅的作用机制及其影响因素。为了得到可靠结果，模型采用GMM估计，处理了异方差和内生性问题。实证结果表明：系统风险、非系统风险与流动性越大，对股票达到涨跌停板的影响就越大；公司治理结构越好，对股票撞击涨跌幅限制的影响就越小；在牛市与熊市期间涨跌幅限制影响因素的作用具有较大差别。本文研究结果为监管机构因类、适时地调整涨跌幅限制幅度提供了依据。
文章在現有文獻研究的基礎上引入公司治理水平，建立比例logist模型，區分漲幅和跌幅限製、牛市和熊市的不同情況來研究中國股票市場漲跌幅的作用機製及其影響因素。為瞭得到可靠結果，模型採用GMM估計，處理瞭異方差和內生性問題。實證結果錶明：繫統風險、非繫統風險與流動性越大，對股票達到漲跌停闆的影響就越大；公司治理結構越好，對股票撞擊漲跌幅限製的影響就越小；在牛市與熊市期間漲跌幅限製影響因素的作用具有較大差彆。本文研究結果為鑑管機構因類、適時地調整漲跌幅限製幅度提供瞭依據。
문장재현유문헌연구적기출상인입공사치리수평，건립비례logist모형，구분창폭화질폭한제、우시화웅시적불동정황래연구중국고표시장창질폭적작용궤제급기영향인소。위료득도가고결과，모형채용GMM고계，처리료이방차화내생성문제。실증결과표명：계통풍험、비계통풍험여류동성월대，대고표체도창질정판적영향취월대；공사치리결구월호，대고표당격창질폭한제적영향취월소；재우시여웅시기간창질폭한제영향인소적작용구유교대차별。본문연구결과위감관궤구인류、괄시지조정창질폭한제폭도제공료의거。
Based on the research by Gong - Meng Chen et al（2005）, this paper takes the level of corporate governance into account, and tries to set up the proportional lngist model to analyses the mechanism and influence factors of price limits in China＇ s stock market in the bull and bear stock markets respectively. To get a reliable result, this paper settles the problem of heteroskedastic and endogeneity with the GMM method. The empirical results reveal that the more systematic risk, unsystematic risk and liquidity there are in the markets, the more the stock will hit the price limits; and that the better the corporate governance remains, the less probably the stock will hit the price limits; and that there are remarkable differences for the effects of the influence factors that make the stocks hit the price limit between the bull and bear markets. The research provides foundations for the supervision department to adjust the range of price limits according to different situations in different times.
