Price Limit And Magnet Effect

Stock market is an important part of China's financial market.China's stock market was established in 1990.Up to this year,it has been 29 years.Whether the stock market can develop steadily and healthily is very important for China's economic development.Stock prices fluctuate around the value.This is a normal phenomenon.But if thtis kind of fluctuation goes beyond the normal range of fluctuation and the whole market has a strong speculative atmosphere,such a market will no longer be a healthy market,but will also affect the long-term healthy development of our national economy.In order to reduce the volatility of the stock market,China's A-share market began to implement price restriction measures on December 16,1996,which has a history of more than 20 years.In recent years,the capacity of China's capital market has been expanding,the structure of investors has been changing,and the degree of market regulation has been increasing.To study whether the price restriction system can really suppress the price volatility of China's stock market has become the research direction of common concern of academia,investors and regulators.This paper chooses 313 sample stocks with more than 40 times of fluctuations and fluctuations on the consecutive trading day in 2015,and takes the high-frequency data of sample stocks for 5 minutes in 244 trading days from January 5,2015 to December 31,2015 as the research object.Firstly,different magnetic attraction thresholds are set,and DJGR model is used to analyze whether there is magnetic attraction effect in China's stock market and the strength of magnetic attraction effect under different magnetic attraction thresholds.Secondly,according to the circulation market value of sample stocks,the proportion of institutional investors in sample stocks and whether they belong to the subject of margin trading or not,the sample stocks are grouped into groups,and the magnetic attraction effect under dififerent circumstances is analyzed.Finally,considering the influence of market conditions on magnetic attraction effect,we divide the time interval into two stages:bull market and bear market,and compare the magnitude of magnetic attraction effect between bull market and bear market.Based on the empirical analysis and the characteristics of China's stock market at this stage,the following conclusions are drawn:the magnetic attraction effect exists universally in China's stock market;the intensity of the magnetic attraction effect is not identical in the direction of rise and fall,and the magnetic attraction effect in the direction of increase is stronger than that in the direction of decrease;the larger the proportion of rise and fall,the stronger the magnetic attraction effect;the magnetic attraction effect of stocks with small market value is stronger than that of circulation market value.Stocks;the margin trading system enlarges the magnetism effect of price restriction;the magnetism effect of stocks with high institutional ownership ratio is stronger than that of stocks with low institutional ownership ratio;the magnetism effect of bull market is stronger than that of bear market.Finally,according to the conclusions of the study,this paper puts forward corresponding policy recommendations:first,appropriate relaxation of price restrictions.China's existing price restriction ratio has been implemented for more than 20 years.In the course of its implementation,China's stock market has also undergone tremendous changes.The scale of the market has been expanding,the quality of investors has been improving,and the variety of transactions has been increasing.The 10%restriction ratio at the initial stage of the system implementation has no longer fully adapted to the actual situation of China's stock market,so it is necessary to raise the limit appropriately.For example,it should be relaxed to 15%or 20%.The second is to implement asymmetric price restriction measures,that is,to set a higher rate of increase to suppress the magnetic attraction effect in the direction of rise and stop.Thirdly,we should implement dynamic price restriction measures,set different price restriction ratios according to different market quotations,and take full account of the current market quotations,which is conducive to improving the liquidity of the stock market and reducing the risk of the stock market.