| Along with the intention of maintaining the stability of the stock market,the price limit system had been cancelled and re-established since its initial establishment in 1991.It was finally officially established in December 1996 and has continued to this day.Over the past 20 years,the price limit system has been closely linked to the stock market.On the one hand,restraining excessive market volatility is conducive to reducing systemic risks in the market,reducing the incidence of speculative bubbles,and promoting the stable and healthy development of the securities market;On the other hand,under the current situation that China's stock market is not mature enough and investors are not rational,price limits reduce the uncertainty of the market and protect the interests of investors.However,more and more scholars have put forward opposing opinions.They believe that the price limit system hinders the normal trading of the market and will increase the market volatility and interfere with the self-realization process of market prices.Therefore,this paper intends to analyze the impact of price limits on investor pricing bias through experimental research methods,and then give corresponding policy recommendations.Based on the previous related literatures,this paper designs a securities market experiment related to the price limit.80 participants were randomly divided into 8 groups,of which 1-4 groups were no limit group(control group),and 5-8 groups were limit group(experiment group).Before the experiment,the investor characteristics were investigated through a well-designed questionnaire;and insider traders were determined through random selection.The experiment adopts the method of continuous two-way auction to make quotations,and adopts the rules of “price priority and time priority” to conduct transactions;in order to analyze the pure effect of the influence of price limit on pricing deviation,the experimental design divides the experimental 10 cycles into stage 1 and stage 2.In stage 2,the experimental group is subject to a price limit to form the DID data structure required for subsequent analysis.According to the data formed during the experiment,descriptive statistics and nonparametric tests were carried out in this paper.The double difference analysis was carried out as well.Finally,the robustness test was carried out on the model.The main conclusions of this paper are as follows:(1)Regardless of whether there is a limit or not,the pricing deviation is ubiquitous,that is,the transaction price in the experiment generally deviates from the basic value of the securities.(2)In the case of a price limit,the price deviation formed by investors in securities trading is greater.(3)In this experiment,the direction in which the price deviates from the base value is usually positive,that is,the price is often higher than the base value,forming a price bubble.The innovations of this paper are as follows:(1)From the method point of view,the data source of this paper is the account data collected by the organization during the experiment,including the quotes of the trader,the transaction price and the individual differences of the traders.The method is difficult to obtain.(2)From the content point of view,this paper constructs a research framework for the pricing bias of securities market investors with the price limit as the main line.On the one hand,it draws on the existing foreign securities market experimental research in the basic framework of experimental design.On the other hand,it also carries out the design of specific experimental environment and the processing of experimental data according to its own experimental purposes,such as the information existing in the actual securities market.The asymmetry factor introduces insider traders in the securities market experiment,and fully considers the individual characteristics of investors,such as gender,overconfidence,investment experience and other factors.The introduction of these control variables makes the model of this paper more credible.(3)From the conclusion point of view,this paper draws some research conclusions that are different from the existing research results at home and abroad.The conclusions drawn from this paper that are inconsistent with or even contradictory to some existing studies indicate that the effectiveness of the price limit system is open to question when considering the irrational factors of investors and the market is not fully effective.Due to the limited level of the author,this paper also has the following shortcomings.(1)Due to the limited conditions,it is not possible to use the computer system for trading,but to manually maintain the trading order and regulation of the experimental market.Therefore,the efficiency of collection,sorting and input needs to be improved.Also,the number of repetitions of the experiment is small,and the experimental data collected is not rich enough.(2)In the model construction,the control variables for the description of investor characteristics are not comprehensive enough,such as the risk preference of investors.These shortcomings will be the direction of this article's future efforts to improve. |
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