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利用最近两年A股2272家上市公司涨停频率数据,本文着重考察了所有涨停和从未涨停过的股票的差异。研究发现,总体看来容易涨停的股票在行业和流动股本上均存在着集聚性,即大量涨停扎堆在小部分股票中,这些股票大多具有某些特征。但是在财务盈利能力上容易涨停的股票整体情况却并不比不涨停的股票有明显的优势。此外,本文还利用logit和零膨胀泊松两种回归模型检验了行业、换手率、新股、除权和流通股本等影响因素,最后发现这些指标对涨停的影响在1%的水平下均十分显著。本文的研究结果为我们理解微观市场行为提供了新的视角。
Using the daily limit of 2272 listed companies in A-shares in the past two years, this article examines the differences between all daily stops and stocks that have not been suspended. The study found that, in general, stocks that tend to trade daily are aggregated both in industry and in liquid capital, with a large number of up-stops tied in to a small fraction of stocks, most of which have certain characteristics. However, the overall stock situation that tends to go up and down on financial profitability does not have a clear advantage over stocks that do not trade. In addition, the paper also uses logit and zero-expansion Poisson two regression models to test the industry, turnover, new shares, ex-dividend and circulating capital and other influencing factors, and finally found that the impact of these indicators on the daily limit at 1% are very significant . The results of this paper provide a new perspective for us to understand the micro-market behavior.