| Price limit system is one of the circuit breakers measures which iscomparatively used in the futures market and the stock market. Thepurpose of the system is to prevent the market excessively volatility andthe price deviation. The reasonable price limit system plays the veryimportant role to the futures market and stock market's steady movementand the function. Continuously, there are significant differences for theprice limit system whether the academic issues or the practical. The focusis on liquidity disturbing effect, volatility spillover effect, delayed pricediscovery effect and magnet effect and so on which possibly exists duringthe system implementation process. Therefore, we can test theeffectiveness of the price limit system during the effect research of theprice limit system in futures market.By analyzing the current situation of the price limit system andsummarizing the study by the domestic scholar or the overseas scholar,This passage makes use of event methodology and grouping comparisontest, selects Copper contract and Aluminum contract in Shanghai FuturesExchange and soybean futures contract Dalian Commodity Exchangewhich are long time, stable, representative of the entire market, optionsthe data of the largest positions contracts as consecutive contract byExcel. According to research,this paper also select Hui-Heubel liquidityratio index and the undulation rate index which measured by thelogarithm returen, dives the sample data into reached price limit as pointand reaching price limit as reference, using the software of Spss andEviews and making k-w and Mann—Whitney U test to test liquiditydisturbing effect, volatility spillover effect and magnet effect during risesand fails. The results show that the highest price limit enhances themarket liquidity and the lowest price limit has liquidity disturbing effectand volatility spillover effects. This paper selects Copper contract inShanghai Futures Exchange and soybean futures contract DalianCommodity Exchange which are representative of the entire market andtheir trading high frequency data during relatively active time, options return rate index and standardize this series high-frequency data toeliminate the impact of fluctuation in days, from the investor's response,selects many reference points, from rise, fall two kind of situations, try toinspect the average rate of return interval of 5minutes, 10minutes toexamine the magnetic effect. The results show that the lowest price limithas slight magnetic effect.Finally, the research show that the price limit system in our countrycommodity futures market is lack efficiency, and put forward someproposals. |
