我国股市涨跌幅限制日内效应的实证研究

本文利用我国沪市ST股和普通股的5分钟高频数据对我国股市涨跌幅限制的效应进行分析。结果表明，虽然普通股和ST股在接近涨跌幅限制时均存在趋势反转现象，但普通股10％的涨跌幅限制存在一定的磁吸效应，而ST股5％的涨跌幅限制不存在磁吸效应。这与国外其他研究以及国内基于其他方法得出的研究结论存在差异。本文的分析还说明，国内所谓涨跌幅限制的冷却效应只是股价正常的均值回复，与涨跌幅限制制度无关。

Empirical Study on Intraday Effect of Price Limits in Chinese Stock Market

By analyzing 5-min intraday data of ST stocks and ordinary stocks in Shanghai stock exchange,this paper studies the intraday effect of price limits in Chinese stock market.The result shows that,the prices of ST stocks and ordinary stocks will reverse when they approach the price limits;there exists a certain extent of magnet effect in 10% price limits of ordinary stocks,whereas there doesn't in 5% price limits of ST stocks,which are different from researches abroad and some domestic studies based on other m...