| The price limit system has been operating in China for 22 years.During this period,China security market has undergone many changes,and it has been changed from a unilateral market to a bilateral market.The number of underlying securities in margin trading has increased by 5 times.The realization of short selling mechanism is gradually affecting the investment environment and changing the trading behavior of investors.The artificially-developed trading system should be adjusted in time with the changes in the market environment.Facing the maturity,comprehensiveness and complication of China security market in recent years,it remains to be verified whether the price limit system still retains its initial effectiveness.At the same time,domestic and foreign scholars have different views on the price limit system.Supporters believe that the price limit system can suppress excessive stock price volatility and reduce investor panic effectively to stabilize stock market volatility.Opponents believe that the price limit system has hindered the normal trading of the stock market,which brings three major hypotheses describing three negative effects of the price limit system: the volatility spillover hypothesis,the delayed price discovery hypothesis and the transaction interference hypothesis.Based on the above situation,this paper focuses on the positive and negative effects of the price limit system in the bilateral market.First,does the price limit system maintain the positive effect of stabilizing stock price fluctuations? The fixed-effect panel data model is used to empirically analyze whether the price limit system affects individual stock fluctuations before and after A-shares enter the bilateral market.And to construct whether there is an interaction between the two factors of the price limit and the securities trading,and try to find out whether the merger of the securities trading and the price limit in the bilateral market has an impact on the price fluctuation of individual stocks.Second,whether the three major hypotheses about negative effects are true? The stocks of the AH stocks included in the margin financing and securities lending are selected for the event analysis.The rationality of the three hypotheses in the bilateral market will be demonstrated in this paper.In order to overcome the shortcomings of the ups and downs,the lack of control group defects,this paper selects the stocks jointly listed by A shares and H shares for analysis which can solve the heterogeneity of individual stocks.At the same time,this paper will have a large increase and decrease of AH stock data,that is,AH stocks with a price increase of 7% or more and less than 10%,which is included in the analysis framework.This can rule out the impact of AH shares on the experimental results due to their inherent differences in two different trading environments.The empirical results show that the price limit system has the effect of restraining stock market volatility while the positive effect is weakening in the bilateral market.Moreover,the effect of the ups and downs system and the merger of securities lending transactions on the stock price volatility is lower than the suppression effect of the single price limit system on individual stock price fluctuations.The combination of securities trading and the ups and downs may affect the volatility of the price limit system.Secondly,both of the up limit and the down limit have three negative effects,but they have asymmetry.Compared with the down limit,the negative effect of the up limit is more obvious.Therefore,this paper suggests that relevant departments update the limits of the ups and downs.Specific suggestions include: first,appropriate relaxation of the limit;second,the asymmetry range can be set so that the limit of increase is greater than the limit of fall;third,the establishment of a system of multiple price stability mechanisms,such as the trading suspension mechanism and the price limit The system is combined;Fourth,give different types of stocks different restrictions on the rise and fall;fifth,according to this article,carry out the reform of the price limit system from the stocks of the financing and securities lending firstly,and gradually optimize the system of the price limit. |
PDF Full Text Request