论文部分内容阅读
本文利用中国上证A股的相关数据,通过扩展的GARCH模型验证涨幅限制与跌幅限制对收益序列性和收益波动性的影响及其差异,并在控制了反映公司和股票特征的相关变量之后,进一步分析了涨跌幅限制影响的行业差异。研究发现:涨跌幅限制对股票收益序列相关性的影响倾向于不显著,但对股票收益波动性的影响倾向于显著;涨幅限制影响的行业差异显著存在,而跌幅限制影响的行业差异不显著。在分析造成波动性的非对称性影响效果的原因时,本文发现市场β值、市值越大的公司,涨跌幅限制越容易对其产生非对称的影响。上述结果验证了在不同行业设置不同价格涨跌限制和设置非对称涨幅限制和跌幅限制的合理性。
In this paper, we use the data of China’s A-share market to verify the effects and the differences between the gains and losses and the earnings volatility by the extended GARCH model. After controlling the relevant variables that reflect the characteristics of the company and stock, Analyzed the industry differences in the impact of price increases and decreases. The results show that: the influence of price fluctuation limit on the correlation of stock returns series tend not to be significant, but the impact on volatility of stock returns tends to be significant; the industry differences affected by the price increase limit obviously exist, while the industry differences affected by the price drop limit are not significant . When analyzing the causes of the asymmetric effects of volatility, we find that the larger the market value, the larger the market value, the easier it is for the price fluctuation limit to affect asymmetrically. The above results verify the reasonableness of setting different price fluctuation limits and setting asymmetric gain and loss limits in different industries.