从我国股市磁吸效应看熔断机制的适用性
首发时间:2017-10-11
摘要:为了探讨我国股市涨跌幅限制的有效性和熔断机制的适用性,选取2015年沪深A股的高频数据,通过GARCH模型实证检验磁吸效应的存在性,并分析市场指数的变化对个股磁吸效应的影响。研究结果并未验证磁吸效应,但发现了指数下跌对于个股磁吸效应有促进作用,且对大盘股的影响更明显。据此得出结论,股市的涨跌幅限制基本达到了预期效果,监管部门可以尝试引入合理的跌幅单向熔断机制,作为应对市场风险的措施。
关键词: 磁吸效应 冷却效应 涨跌幅限制 熔断机制 GARCH模型
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The Applicability of Chinese Circuit Breaker: A Perspective of Magnet Effect
Abstract:By using high frequency data from Shanghai and Shenzhen A shares in 2015 and building a GARCH model, the study investigated magnet effect and the influence of market index\'s change for magnet effect. We tried to verify whether price limit and circuit breaker in Chinese stock market will be effective and appropriate or not. The study draws some conclusions. First, magnet effect didn\'t exist. Second, market index\'s decrease made promoting effect on the magnet effect, while the effect on large-capitalization stocks is more significant. Finally, on one hand, we believed that price limit reached the expected objects. On the other hand, regulators had better make an appropriate circuit breaker near lower limit, which might be a nice measure to deal with market risk.
Keywords: Magnet Effect Cool Effect Price Limit Circuit Breaker GARCH Model
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