涨跌幅限制对证券市场影响的实验经济学研究

涨跌幅限制是一种稳定证券市场价格的制度安排。长期以来有关涨跌幅限制的政策效果一直存在较大的争议。本文借鉴西方实验经济学的基本方法。利用相关计算机实验系统。设置无涨跌幅限制、静态涨跌幅限制和动态涨跌幅限制三组不同的实验环境。分另4选取实验参与人进行模拟证券交易，对静态和动态涨跌幅限制制度对市场的影响进行研究。本文得出的结论是。与没有价格限制的基准实验相比较，动态和静态涨跌幅限制都显著的抑制了价格对基础价值的偏离。提高了市场的信息反映程度。实验结果还表明。动态涨跌幅限制能够抚平市场反应的波动程度．提高市场的流动性，而静态涨跌幅限制在一定程度阻碍了交易的实现，影响了市场交易的持续性。

Experimental Study on the Effectiveness of Price Limits on Security Markets

Price limits are used to attenuate overreaction and reduce excessive volatility in security markets. However, theories on the effectiveness of price limits are controversy. We design 3 sessions of experiments with no price limits, dynamic price limits and static price limits to study the effectiveness of price limits. Participants are involved in those experiments by a computer experimental system. Experimental results show, as compared with the experiments without price limits, both dynamic and static price limits can eliminate the price bubbles in the markets and improve the information efficiency significantly. In addition, dynamic price limits can attenuate the overreaction and underreaction. Dynamic price limits can also improve the liquidity in the markets, while static price limits block the continuity of trading.