| The institution efficiency of stock price limits： An experimental analysis on the two stocks market with continuous bid |
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| 作者单位： | [1]School of Business, Research Center on Corporate Governance, Nankai University, Tianjin 300071, China [2]School of Management, Anhui University of Finance ＆ Economics, Anhui 233030, China [3]Industrial and Commercial Bank of China, Beijing 100031, China |
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| 基金项目： | Acknowledgements： This research is supported in part by National Nature Science Foundation of China （No. 70672029 and 70532001）, project of key base for studies of social science of Ministry of Education of China （No. 05JJD630023）, Social Science Foundation of Tianjin （No. TJ05-GL004）, base for innovation of Philosophy and Social Science 985 Project-＂Management and institution innovation of Corporate in China＂ item. |
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| 摘 要： | Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.
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| 关 键 词： | 价格限额 分析方法 股票市场 金融系统 计算方法 |
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