作　　者： (肖俊喜）; ;

机构地区： 北京大学光华管理学院金融系

出　　处： 《特区经济》 2008年第4期97-99,共3页

摘　　要： 本文从波动性溢出效应假设、延迟价格发现效应假设以及交易干扰效应假设等三方面对大连黄大豆1号期货市场涨跌停板制度进行实证研究,经验上发现:①对停板合约而言,波动性不像非停板合约那样快速回到正常水平,即存在波动性溢出效应;②停板合约价格连续性更可能发生,即存在延迟价格发现效应;③在停板日随后的交易日,停板合约明显放量,换手率大幅增加,而非停板合约换手率呈现下降趋势,即存在交易干扰效应。涨跌停板似乎妨碍了期货有效价格的发现,在减少期价波动性以及阻止过度投机行为等方面的作用值得怀疑。从而,笔者认为,应相应地扩大涨跌停板幅度(例如,提高到5%水平),减少碰板的次数,以提高整个市场运行的效率。 The paper investigates price limit performance in Soybeans No. 1 Futures Market in Dalian from volatility spillover hypolhesis, delayed price discovery hypothesis, and trading interference hypothesis, and empirically finds： ① Unlike non - price -limit contracts, volatility of price limit contracts renew a normal level fast, that is, there exists volatility spillover effect; ② Price continuations oecur more often for price limit contracts than tot non - price - limit contracts, i.e. , there exists delayed price discover effect; ③ On the sequent days after prices reach their limits, trading volume and turnover rate for price limit contracts signrfieantly increase, but turnover rate for non -price -limit contracts declines, that is, price limits interfere with trading. Based on our sample and analysis, price limits seem to impede futures price discovery.＇, we question the effectiveness of price limits in countering overreaction and in reducing volatility. So, we suggest expanding price limit range.

关 键 词： 涨跌停板制度 波动性溢出效应 延迟价格发现效应 交易干扰效应

领　　域： [经济管理—国民经济]