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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。
In this paper, empirical research is conducted on the SSE Futures and Futures (SSE) No.1 soybean futures price and daily limit from three aspects: the volatility spillover effect hypothesis, the delayed price discovery effect hypothesis and the trade disruption effect hypothesis. The empirical studies show that: ① For the FCI, the volatility Unlike the non-stop contract as quickly returned to normal levels, that is, there is a volatility spillover effect; ② discontinuation of the contract price continuity is more likely to occur, that is, there is a delay price discovery effect; ③ In the trading day after the suspension date, Significant contract volume, turnover increased significantly, while non-stop contract turnover rate showed a downward trend, that is, there is the transaction interference effect. It seems doubtful that the price limit will hinder the discovery of effective futures prices, the role of reducing the volatility of futures prices and stopping excessive speculation. Therefore, I believe that the corresponding limit should be to increase the price limit (for example, to 5% level), reducing the number of touchdowns in order to improve the efficiency of the operation of the entire market.