| 我国股票市场涨跌幅限制的作用机制及其影响因素 |
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| 引用本文： | 陈耕云,李传乐.我国股票市场涨跌幅限制的作用机制及其影响因素[J].商业经济与管理,2008(7). |
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| 作者姓名： | 陈耕云 李传乐 |
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| 作者单位： | 1. 中山大学,岭南学院,广东,广州,510275;广东金融学院,工商管理系,广东,广州,510521
2. 华南师范大学,数学科学学院,广东,广州,510631 |
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| 摘 要： | 文章在现有文献研究的基础上引入公司治理水平,建立比例logist模型,区分涨幅和跌幅限制、牛市和熊市的不同情况来研究中国股票市场涨跌幅的作用机制及其影响因素.为了得到可靠结果,模型采用GMM估计,处理了异方差和内生性问题.实证结果表明:系统风险、非系统风险与流动性越大,对股票达到涨跌停板的影响就越大;公司治理结构越好,对股票撞击涨跌幅限制的影响就越小;在牛市与熊市期间涨跌幅限制影响因素的作用具有较大差别.本文研究结果为监管机构因类、适时地调整涨跌幅限制幅度提供了依据.
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| 关 键 词： | 涨跌幅限制机制 公司治理 流动性 |
The Mechanism and Influence Factors of the Price Limits in China's Stock Market |
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| CHEN Geng-yun,LI Chuan-le.The Mechanism and Influence Factors of the Price Limits in China's Stock Market[J].Business Economics and Administration,2008(7). |
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| Authors: | CHEN Geng-yun LI Chuan-le |
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| Institution: | CHEN Geng-yun1,2,LI Chuan-le3(1.Lingnan College,Sun Yat-sen University,Guangzhou 510275,China,2.Department of Industrial , Commercial Management,Guangdong University of Finance,Guangzhou 510521,3.School of Mathematics,South China Normal University,Guangzhou 510631,China) |
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| Abstract: | Based on the research by Gong-Meng Chen et al(2005),this paper takes the level of corporate governance into account,and tries to set up the proportional logist model to analyses the mechanism and influence factors of price limits in China's stock market in the bull and bear stock markets respectively.To get a reliable result,this paper settles the problem of heteroskedastic and endogeneity with the GMM method.The empirical results reveal that the more systematic risk,unsystematic risk and liquidity there ar... |
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| Keywords: | price limits corporate governance liquidity |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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