Is There A Magnetic Attraction Effect In The Stock Market?

Since the establishment of the Shenzhen Stock Exchange and the Shanghai Stock Exchange,the Chinese stock market has developed for nearly 29 years,and the market system is constantly improving.After the price limit in 1996 joined the stock market,it caused constant market debate.The key point of the academic community's questioning lies in the actual role of the system.Similarly,in order to let investors "cool" and avoid the chasing and falling of the role of herd mentality,the circuit-breaker mechanism was implemented at the beginning of 2016.This paper studies how the two systems affect the securities market.In this paper,the intraday high frequency data is used to analyze the existence and performance characteristics of the exponential magnetic attraction effect.Firstly,through the literature reading,the magnetic effect,the price limit system and the fusing mechanism and their effects are analyzed,and the theoretical analysis is made from the perspective of behavioral finance,which lays a foundation for the data processing and empirical research in the following chapters.More than 40,000 data samples were collected,which better reflected the real information of the market.Due to the different dimensions,the research object selected the CSI 300 Index,the SME index and the GEM index,which better summarized the various types of enterprises in the market,and the research is more instructive.In this paper,improvements and innovations have been made in the threshold setting and sample interval division,which can more fully study the characteristics of the different stages of the single index magnetic attraction effect and the characteristics of the magnetic attraction effect in the same stage of the indices.In the current Chinese stock market,combined with the characteristics of investor behavior psychology in China's stock market,this paper uses the improved ARMA-GARCH-GED model to empirically analyze the magnetic effect of China's stock market,and conducts a two-stage refinement comparison analysis of the stock market disaster stage.The empirical study in this paper finds that the magnetic attraction effect is common in both directions.The magnetic attraction effect is asymmetry in the direction of ups and downs.The maximum magnetic attraction effect of the decline of the CSI 300 index and the SME index is greater than that of the increase,while the GEM index is opposite;the magnetic attraction effect between the indices,from the scale of scale See,the maximum magnetic attraction effect of the SME index is stronger than the CSI 300 index;from the maturity dimension,the maximum magnetic attraction effect of the GEM index is weaker than the SME index;the introduction of the circuit-breaker mechanism weakens the magnetic attraction of the CSI 300 Index.The effect,but also greatly weakened the market liquidity,and did not play a good role in stabilizing the market,but intensified the volatility of the financial market.Therefore,at this stage,the introduction of the circuit-breaker mechanism under the conditions of the price limit is not suitable for China's stock market.