南方经济
南方經濟
남방경제
South China journal of Economy
2011年
11期
54~62
,共null页
权证 涨跌幅限制 市场微观结构
權證 漲跌幅限製 市場微觀結構
권증 창질폭한제 시장미관결구
Warrants; Price Limits; Market Microstructure
本文采用了事件分析法和分组比较法结合的方法,并利用非参数检验方法对权证涨跌幅限制的波动溢出效应、价格发现滞后效应及流动性干扰效应进行实证检验。结果表明,我国权证市场涨跌幅限制的效应存在不对称性,即涨幅限制导致了波动溢出效应,增大了权证达到涨幅限制后的流动性;权证的跌幅限制不存在波动溢出效应,但对权证的流动性产生干扰效应。此外,权证的涨跌幅限制产生了价格发现滞后效应。涨跌幅限制在一定程度上干扰了权证市场机制的运行,给权证市场造成了不利的影响。
本文採用瞭事件分析法和分組比較法結閤的方法,併利用非參數檢驗方法對權證漲跌幅限製的波動溢齣效應、價格髮現滯後效應及流動性榦擾效應進行實證檢驗。結果錶明,我國權證市場漲跌幅限製的效應存在不對稱性,即漲幅限製導緻瞭波動溢齣效應,增大瞭權證達到漲幅限製後的流動性;權證的跌幅限製不存在波動溢齣效應,但對權證的流動性產生榦擾效應。此外,權證的漲跌幅限製產生瞭價格髮現滯後效應。漲跌幅限製在一定程度上榦擾瞭權證市場機製的運行,給權證市場造成瞭不利的影響。
본문채용료사건분석법화분조비교법결합적방법,병이용비삼수검험방법대권증창질폭한제적파동일출효응、개격발현체후효응급류동성간우효응진행실증검험。결과표명,아국권증시장창질폭한제적효응존재불대칭성,즉창폭한제도치료파동일출효응,증대료권증체도창폭한제후적류동성;권증적질폭한제불존재파동일출효응,단대권증적류동성산생간우효응。차외,권증적창질폭한제산생료개격발현체후효응。창질폭한제재일정정도상간우료권증시장궤제적운행,급권증시장조성료불리적영향。
In this paper, we adopt event methodology and grouping comparison test as well as non-parameter test to do empirical test on the existence of volatility spillover effect, delayed price discovery effect and liquidity disturbing effect. By doing this, we study the performance and effects of price limit system in China warrants market. Our research shows asymmetry between the high and low price limits in the warrants market of China, that is, the high price limit of warrants leads to volatility spillover effect while the low price limit does not, and liquidity disturbing effect exists in the low limit but not in the high limit. In addition, the empirical test shows that the price limit produces delayed price discovery effect. To some extent, price limit disturbs the operation of warrants market mechanisms in China.