价格涨跌幅限制起到了助涨助跌作用吗?

价格涨跌幅限制是否具有助涨助跌作用对于判断涨跌幅限制的实施效果具有重要的意义。既有的研究表明 ,股价在发生涨跌停时存在一定的过度反应。然而 ,本研究发现 ,在股价发生涨跌停时 ,虽然涨跌幅限制不能完全消除过度反应 ,但是可以显著地减小而不是增大过度反应的程度。本研究还发现 ,价格涨跌停本身并不是导致过度反应的原因 ,因为股价不仅在涨跌停时存在过度反应 ,而且在大幅度变化但未达到涨跌停时也存在过度反应。本文据此认为 ,没有证据表明价格涨跌幅限制具有助涨助跌作用。

Do Price Limits Enhance Investor Overreaction When Prices Close At Price Limits?

Whether the price limits enhance investor overreaction is an important issue for the evaluation of the effectiveness of the price limit system in China stock market. Some empirical studies had showed that China stock market overreacts when the stock prices close at price limits. However, we find that price limits can significantly reduce, rather enhance, investor overreaction, although they cannot eliminate investor overreaction fully. Furthermore, we find that price limits themselves cannot induce investor overreaction. So we conclude that price limits do not enhance investor overreaction when price close at price limits.