涨跌停板对中国商品期货市场效率影响实证研究

运用上海、郑州、大连期货交易所近六年日交易数据,实证研究涨跌停板制度对我国商品期货市场效率的影响。结论表明,涨（跌）停限制干扰了交易的正常进行,阻碍了信息传递,降低了我国商品期货市场效率,并且涨（跌）停所造成的价格延迟效应一般会延续到第二天。在此基础上,比较分析了与其他市场的异同,提出了相应的政策建议。

Empirical Research on the Impact of Price Limit in Chinese Commodity Futures Marketing Efficiency

Making use of recent six years daily data from Shanghai futures exchange,Zhengzhou commodity exchange and Dalian commodity exchange,the impact of price limit on Chinese commodity futures marketing efficiency has been demonstrated.The empirical conclusions show that the effect of price limit which usually extends until the next day has both a disturbance on futures transaction and a hindrance on information communication,and makes a negative effect on commodity futures marketing efficiency.On this basis,the ...