中国股市涨跌停板对投资者交易行为的影响

利用A股市场的日内高频数据,研究我国股市涨跌停板制度是否存在"磁吸效应",从而判断涨跌停板的存在是否会影响投资者在面临个股较大涨跌幅时的交易行为.研究结果表明:一,我国A股市场涨跌停板的设定并不会导致投资者流动性风险的增加;二、投资者观察到股价大幅波动时会比较谨慎,涨跌停板的存在抑制了股价波动的进一步增大;三,临近收盘时,如果股价已下跌了较大的幅度,投资者的损失规避交易会造成股价的继续下跌.

The Effect of Price Limits on Investors' behavior in China Stock Market

Using intra - day data from Shanghai stock exchange, we study the magnet effect of the price limits on China stock market, and investigate the investors' behavior when they face enormous rising or falling of the price. We show that the price limits on China stock market do not induce the liquidity risk of the investors. The investors will be more cautious when the price fluctuates enormously. Near the close time, the falling price will accelerate toward the limits because of the risk aversion trade of the investors.