价格涨跌幅机制对市场波动及换手率的影响 |
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引用本文: | 刘善存,孙盛盛.价格涨跌幅机制对市场波动及换手率的影响[J].企业科技与发展,2008(7):199-201. |
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作者姓名: | 刘善存 孙盛盛 |
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作者单位: | 北京航空航天大学经济管理学院,北京100083 |
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基金项目: | 本文得到国家自然科学基金(编号:706710006)和全国优秀博士学位论文作者专项基金(编号:200466)资助 |
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摘 要: | 文章调查了价格限制机制对股票价格波动以及市场流动性的影响。首先刻画了实行价格涨跌幅限制后股票价格的变化特征,研究价格限制机制对股票价格波动的影响;随后在考虑延续冲击效应因素的基础上,通过对引入价格限制机制后投资者总成本的考察,研究了该机制对市场流动性的影响。文章结论认为,股票价格涨跌幅限制机制的引入,将增加股票市场的波动性,并且会导致投资者心理所能承受的潜在收益、损失量减小,使投资者更加频繁地买卖股票.从而增加市场换手率,进而提高整个市场的流动性。
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关 键 词: | 阶格限制机制 价格波动性 市场换手率 |
The Influence of Price Limit on Price Fluctuation and Turnover Ratio |
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Authors: | Liu Shan-cun Sun Sheng-sheng |
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Institution: | Liu Shan-cun Sun Sheng-sheng (School of Economics and management, Beijing University of Aeronautics and Astronautics, Beijing 100083) |
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Abstract: | The paper investigates the influence of price limit on price fluctuation and market liquidity, in the light of the financial market microstructure theory. Firstly, we get a price behavior model under price limit to investigate the impact of price limit on price fluctuation. And then build a model concerned the total cost of the investor under price limit,and make a computer simulation on it. The result shows that under the price limit, the price fluctuation increase and mental revenue and losing reduce, the turnover ratio increase. |
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Keywords: | price limit price fluctuation turnover ratio |
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