涨跌停板制度对期货市场价格发现过程及波动性的影响--基于上海期货交易所的实证研究

本文通过检验在出现涨跌停板之后一个交易日的期货价格及其波动性的变化情况，研究了涨跌停板制度对上海期货交易所期货价格变动的影响。研究结果显示，对不同的期货品种，涨跌停板制度的影响存在一定的差异，但总体而言，涨跌停板制度并没有起到防范价格过度反应和降低市场波动性的作用。相反，在一定程度上延缓了期货市场价格发现功能的发挥，增大了市场的波动性。

The Effectiveness of Price Limits on the Futures Price Discovery Process and Volatility: An Empirical Analysis in Shanghai Futures Exchange

This paper examines the effect that price limits have on futures prices of Shanghai Futures Exchange by testing what happens to price changes and volatility on the trading day following a limit-lock day. The results show evidence that the effects of price limits vary across different futures commodities, but in general price limits have no effect in preventing overreaction and reducing market volatility. On the contrary, price limits delay the volatility in some degree. price discovery process and rise market