中国权证市场涨跌幅限制效应的实证研究

涨跌幅限制制度作为金融体系中稳定价格，防范价格过度波动的措施之一，被许多国家所采用。一直以来，理论界和实务界对涨跌停机制的实施效应存在争议，焦点集中在制度实施过程中可能存在的流动性干扰效应、波动性溢出效应、价格滞后发现效应和磁吸效应等。自2005年中国权证市场采用涨跌幅限制以来已近五年，其实施效果和对权证市场的发展产生的影响值得我们进行研究和探讨。本文选取截至目前我国已经和正在上市交易的55只权证日交易数据进行分析，检验涨跌幅限制对权证非理性波动的影响，以及流动性干扰效应、波动溢出效应和价格发现延迟效应是否存在，来考察我国权证市场中涨跌幅限制制度的实施效果和效应。

An Empirical Study on the Effectiveness of Price Limits in China Warrants Market

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...