發(fā)布時(shí)間：2018-01-05 03:30

  本文關(guān)鍵詞：市場(chǎng)微觀結(jié)構(gòu)視角下中國(guó)A股市場(chǎng)漲跌停板信號(hào)傳遞效應(yīng)的實(shí)證研究　出處：《西南財(cái)經(jīng)大學(xué)》2013年博士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 漲跌停板限制制度 信號(hào)傳遞 漲停板溢價(jià)效應(yīng) 跌停板折價(jià)效應(yīng) 累積平均異常收益 投資者關(guān)注 股票特征 大交易量折價(jià)效應(yīng)

【摘要】：雖然世界上相對(duì)最發(fā)達(dá)最成熟的美國(guó)和倫敦兩個(gè)股票交易市場(chǎng)并沒(méi)有對(duì)股票的交易實(shí)行漲跌幅限制,但這并不影響學(xué)者們對(duì)此問(wèn)題的關(guān)注。學(xué)者們利用世界其它正在實(shí)施此種交易制度的股票市場(chǎng)數(shù)據(jù),對(duì)此問(wèn)題進(jìn)行了反復(fù)研究。盡管學(xué)者們不斷地尋找不同市場(chǎng)的證據(jù)支持,但略顯不足的是,大家對(duì)每個(gè)市場(chǎng)的研究都停留在從四種效應(yīng)(波動(dòng)性溢出效應(yīng)、價(jià)格發(fā)現(xiàn)延遲效應(yīng)、交易干擾效應(yīng)和磁吸效應(yīng))的角度出發(fā),考察漲跌停板限制制度對(duì)市場(chǎng)有效性的影響,很少有學(xué)者從信號(hào)傳遞的角度對(duì)這個(gè)問(wèn)題進(jìn)行過(guò)深入研究。 本文將以市場(chǎng)微觀結(jié)構(gòu)理論為背景,從知情交易者信號(hào)傳遞的視角,考察股票漲跌停板行為是否包含股票未來(lái)走勢(shì)的有用信息。首先以漲停板為例,建立知情交易者通過(guò)將股票價(jià)格推至漲停板位置的行為向市場(chǎng)傳遞出其所擁有的私人信息,以及其對(duì)股票未來(lái)短中期走勢(shì)的信心；其次,通過(guò)實(shí)證分析驗(yàn)證中國(guó)A股市場(chǎng)是否存在“漲停板溢價(jià)效應(yīng)”和“跌停板折價(jià)效應(yīng)”,并給出合理的解釋?zhuān)辉僬?進(jìn)一步考察經(jīng)常發(fā)生漲跌停板事件股票的典型特征,為投資決策的制定提供更堅(jiān)實(shí)的依據(jù)；最后,拓展我們的基礎(chǔ)研究,以漲跌停板限制制度為背景,將金融市場(chǎng)最基礎(chǔ)最核心的兩個(gè)變量——價(jià)格和成交量有機(jī)結(jié)合起來(lái),考察漲停板與大交易量之間的深層次關(guān)系,更進(jìn)一步加深我們對(duì)量?jī)r(jià)關(guān)系的理解。 本文的理論意義在于：不僅豐富了有關(guān)漲跌停板限制制度方面的研究文獻(xiàn),并且對(duì)從另一側(cè)面再次了解我國(guó)A股市場(chǎng)的弱有效性特征提供了新的證據(jù)支持,同時(shí)還加深了我們對(duì)量?jī)r(jià)關(guān)系的認(rèn)識(shí)和理解。本文的實(shí)際意義在于：(1)本文通過(guò)理論和實(shí)證分析發(fā)現(xiàn),我國(guó)A股市場(chǎng)的漲跌停板限制制度在短中期內(nèi)均具有助漲助跌的作用,為市場(chǎng)監(jiān)管部門(mén)進(jìn)一步完善交易制度提供了堅(jiān)實(shí)的依據(jù)。(2)在此種交易制度沒(méi)有調(diào)整或者取消之前,有利于投資者利用此類(lèi)事件做出正確的投資決策。 本文的研究?jī)?nèi)容具體主要包括理論基礎(chǔ)、相關(guān)的文獻(xiàn)綜述和分析、中國(guó)A股市場(chǎng)漲跌停板信號(hào)傳遞效應(yīng)的理論和實(shí)證分析和股票漲停板和大交易量的深層次聯(lián)系研究。全文共分為七章,各章的具體內(nèi)容和結(jié)論如下： 第一章為導(dǎo)論,主要介紹本文的選題背景、研究問(wèn)題、邏輯思路、研究?jī)?nèi)容和研究意義。 第二章從市場(chǎng)結(jié)構(gòu)、基于信息的模型和知情交易者的策略行為三個(gè)方面對(duì)市場(chǎng)微觀結(jié)構(gòu)理論加以論述,為后文理論模型的建立奠定堅(jiān)實(shí)的基礎(chǔ)。 第三章對(duì)漲跌停板限制制度的研究文獻(xiàn)進(jìn)行回顧和評(píng)述,主要包括學(xué)者們以除美國(guó)和倫敦股票市場(chǎng)以外的世界其它正在實(shí)施此種交易制度的市場(chǎng)為研究對(duì)象,分別從波動(dòng)性溢出效應(yīng)、價(jià)格發(fā)現(xiàn)延遲效應(yīng)和交易干擾效應(yīng)三個(gè)方面,檢驗(yàn)了此種交易制度實(shí)施的有效性問(wèn)題,也有學(xué)者驗(yàn)證了漲跌停板限制制度是否會(huì)使得股票在日內(nèi)具有很強(qiáng)的磁吸效應(yīng)問(wèn)題。同時(shí),我們還對(duì)我們所認(rèn)為的,同中國(guó)A股市場(chǎng)股票發(fā)生漲跌停板事件很相近的,并且在國(guó)外相對(duì)成熟市場(chǎng)(主要是美國(guó)和倫敦股票市場(chǎng))上經(jīng)常發(fā)生的--股票價(jià)格在某天出現(xiàn)大幅上漲或者下跌(大于等于10%)事件做出了綜述。 第四章是后續(xù)第五章和第六章實(shí)證拓展研究的基礎(chǔ)。本章首先以漲停板為例,建立了知情交易者通過(guò)將股票價(jià)格推至漲停板位置的行為,向市場(chǎng)傳遞出其所擁有的私人信息,以及其對(duì)股票未來(lái)走勢(shì)的信心的理論模型。其次,采用標(biāo)準(zhǔn)事件研究法驗(yàn)證發(fā)現(xiàn),中國(guó)A股市場(chǎng)存在“漲停板溢價(jià)效應(yīng)”和更加明顯的“跌停板折價(jià)效應(yīng)”,即股票漲停板之后60天持有期的累積平均異常收益,上證A股為4.568%,深證A股為5.092%；股票跌停板之后60天持有期的累積平均異常收益,上證A股為-10.720%,深證A股為-11.335%,并且兩種效應(yīng)是非對(duì)稱(chēng)的,跌停板的折價(jià)效應(yīng)明顯強(qiáng)于漲停板的溢價(jià)效應(yīng)。然后,在排除諸如價(jià)格發(fā)現(xiàn)延遲假說(shuō)、動(dòng)量效應(yīng)、反轉(zhuǎn)效應(yīng)、公告效應(yīng)、系統(tǒng)性風(fēng)險(xiǎn)、流動(dòng)性溢價(jià)的相關(guān)解釋之后,發(fā)現(xiàn)投資者關(guān)注能很好地解釋“漲停板溢價(jià)效應(yīng)”,而“跌停板折價(jià)效應(yīng)”只有處置效應(yīng)能做出合理的解釋。最后,我們驗(yàn)證了投資者基于漲(跌)停板所傳遞出的信號(hào)的投資策略確實(shí)能獲得顯著的經(jīng)濟(jì)效益。 第五章,我們?cè)诘谒恼卵芯康幕A(chǔ)上,進(jìn)一步通過(guò)回歸分析考察經(jīng)常發(fā)生漲跌停板事件股票的典型特征,為投資策略的制定提供更加堅(jiān)實(shí)的依據(jù)。通過(guò)GMM回歸分析我們發(fā)現(xiàn),波動(dòng)性、換手率、公司規(guī)模和賬面市值比是影響股票漲(跌)停板頻率的重要因素,同時(shí)公司基本面依然是影響股票跌停板頻率的顯著因素。更進(jìn)一步,我們結(jié)合中國(guó)A股市場(chǎng)的自身特征,在牛熊市和股權(quán)分置改革前后兩種特定市場(chǎng)條件下,再次考察了經(jīng)常發(fā)生漲(跌)停股票的典型特征。最后給出了相應(yīng)的投資建議。 第六章是基于漲跌停板限制制度,將金融市場(chǎng)兩個(gè)最基礎(chǔ)變量——價(jià)格和交易量有機(jī)結(jié)合的拓展研究。Gervais等(2001)發(fā)現(xiàn)極端的交易量包含著關(guān)于股票價(jià)格未來(lái)演變趨勢(shì)的有用信息,即能預(yù)測(cè)股票未來(lái)的收益,Zhou(2010)沿用Gervais等(2001)的方法,發(fā)現(xiàn)在中國(guó)A股市場(chǎng)極端的交易行為也能預(yù)測(cè)股票未來(lái)的收益,只是大交易量這種沖擊效應(yīng)在中國(guó)A股市場(chǎng)持續(xù)的時(shí)間相較于美國(guó)NYSE市場(chǎng)來(lái)說(shuō)比較的短暫,即Gervais等(2001)中100天的檢驗(yàn)期均能獲得顯著為正的累積平均異常收益,而Zhou(2010)發(fā)現(xiàn)只在30天的檢驗(yàn)期均能獲得顯著為正的累積平均異常收益。我們基于依然采用Gervais等(2001)“前10%原則”來(lái)定義中國(guó)A股市場(chǎng)的大交易量的適用性問(wèn)題、中國(guó)股票市場(chǎng)的高波動(dòng)性特征和數(shù)據(jù)選取三方面的理由,對(duì)Zhou(2010)的實(shí)證結(jié)果產(chǎn)生了質(zhì)疑,并通過(guò)改進(jìn)實(shí)證方法研究發(fā)現(xiàn),其實(shí)中國(guó)A股市場(chǎng)反而存在“大交易量折價(jià)效應(yīng)”。更進(jìn)一步,我們將股票的漲停板與大交易量結(jié)合起來(lái)研究發(fā)現(xiàn),二者在中國(guó)A股市場(chǎng)存在著更深層次的聯(lián)系：大交易量前的漲停板能傳遞出更強(qiáng)的正面信號(hào)；即使是漲停板之前的大交易量也同樣傳遞出負(fù)面信號(hào)；漲停板之后的大交易量傳遞出更強(qiáng)的負(fù)面信號(hào)。最后我們認(rèn)為,在中國(guó)A股市場(chǎng)上,投資者關(guān)注的不是出現(xiàn)大交易量的股票,而是漲停板的股票。最后給出了相關(guān)的投資建議。 第七章為全文的總結(jié),本章首先總結(jié)了本文研究所得出的重要結(jié)論,然后提出本文的研究啟示和未來(lái)的研究方向。 本文在吸收和借鑒國(guó)內(nèi)外研究成果的基礎(chǔ)上,首次從知情交易者信號(hào)傳遞的角度考察了我國(guó)A股市場(chǎng)的漲跌停板限制制度對(duì)股票短中期走勢(shì)的影響,具有一定的創(chuàng)新性：(1)區(qū)別于前人均注重用全球各個(gè)股票市場(chǎng)數(shù)據(jù),從波動(dòng)性、價(jià)格發(fā)現(xiàn)功能及流動(dòng)性三方面,研究漲跌停板限制制度對(duì)市場(chǎng)有效性的影響,本文從另一全新的視角——信號(hào)傳遞對(duì)這個(gè)問(wèn)題進(jìn)行了系統(tǒng)的研究；(2)結(jié)合中國(guó)A股市場(chǎng)的自身特點(diǎn),考慮到市場(chǎng)從2000年到2010年典型的牛熊周期特征和股權(quán)分置改革前后市場(chǎng)發(fā)生的巨大變化,我們進(jìn)一步考察了在不同市場(chǎng)環(huán)境下和不同市場(chǎng)發(fā)展階段,影響股票經(jīng)常發(fā)生漲跌停板事件的公司典型特征；(3)進(jìn)一步拓展研究范圍,將極端的價(jià)格變化和極端的成交量變化相結(jié)合,在中國(guó)A股市場(chǎng)研究?jī)煞N極端量?jī)r(jià)關(guān)系變化的深層次關(guān)系,進(jìn)一步加深了我們對(duì)金融市場(chǎng)上這兩個(gè)最基礎(chǔ)變量的認(rèn)識(shí)。 本文的局限性在于：(1)在以漲停板為例,構(gòu)建股票漲跌停板能向市場(chǎng)傳遞出知情交易者有關(guān)股票未來(lái)走勢(shì)有用信息的理論模型時(shí),考慮的情況較為簡(jiǎn)單,只考慮了當(dāng)天股票價(jià)格一次就封死漲跌停板的情況,并沒(méi)有進(jìn)一步區(qū)分剛開(kāi)始封住漲跌停板,然后又打開(kāi)漲跌停板,最后又封死漲跌停板的情形；(2)我們只考慮了股票漲跌停板短中期的影響,并沒(méi)有像Gervai (2001)在研究美國(guó)紐約股票市場(chǎng)大交易量那樣,考慮這種價(jià)格沖擊對(duì)股票長(zhǎng)期的影響。
[Abstract]:Although the world ' s relatively most developed and most mature U.S . and London stock exchange markets do not limit the trading of shares , it does not influence scholars ' attention on this issue . Scholars have used other stock market data in the world to carry out such trading system , but it is not enough to study the problem . Although scholars continue to search for evidence support in different markets , the study examines the effect of the limit system on market effectiveness from four effects ( volatility spillover effect , price discovery delay effect , transaction interference effect and magnetic attraction effect ) . Few scholars have studied the problem from the perspective of signal transmission . Based on the theory of market microstructure , this paper investigates whether the behavior of stock rising and falling stock includes the useful information about the future trend of stock market from the perspective of the signal transmission of the market . First , based on the empirical analysis , it is proved whether the Chinese A - share market has the characteristics of " fluctuation - plate premium effect " and " fall - off - board discount effect " , and gives a reasonable explanation ; secondly , through the empirical analysis , it is verified whether the Chinese A - share market has " fluctuation - plate premium effect " and " fall - off - board discount effect " and gives a reasonable explanation ; and finally , the deep - level relationship between the price and the large transaction amount is examined by the empirical analysis , so as to further deepen our understanding of the relationship of quantity price . The theoretical significance of this paper is : not only enriches the research literatures related to the limit system of inflation and fall arrest , but also provides new evidence support to the weak validity characteristics of our A - share market from the other side , and also strengthens our understanding and understanding of the relationship of quantity price . The contents of this paper mainly include the theoretical foundation , the related literature review and analysis , the theoretical and empirical analysis of the signal transfer effect of China ' s A - share market and the deep - level contact study of the stock increase and suspension board and the large trading volume . The whole text is divided into seven chapters , the concrete contents and conclusions of each chapter are as follows : The first chapter introduces the background , the research problems , the logical thinking , the research content and the research significance of this paper . In the second chapter , the market microstructure theory is discussed from three aspects : market structure , information - based model and strategy behavior of the informed trader , which lays a solid foundation for the establishment of the theoretical model . The third chapter reviews and comments on the research literature of the limit system of the expansion and fall arrest , which mainly includes scholars to examine the validity of such trading system from the three aspects of volatility spillover effect , price discovery delay effect and transaction interference effect in the world other than the United States and London stock market . The fourth chapter is the foundation of the empirical expansion study of the subsequent chapters V and VI . In this chapter , we establish the theory model of the accumulated average abnormal return of the trader by pushing the stock price to the position of the rising and closing plate , and then by using the standard event research method . In chapter 5 , on the basis of the fourth chapter , we further study the typical characteristics of the stock of stock falling down by regression analysis . We find that volatility , turnover , company size and book market value ratio are the important factors that affect the frequency of stock falling . The sixth chapter is based on the expansion of the limit system of stock price and organically combines the two most basic variables of financial markets _ price and trading volume . Chapter 7 is the summary of the whole text , this chapter summarizes the important conclusions drawn from this paper , then puts forward the research inspiration and future research direction of this paper . On the basis of absorbing and drawing lessons from domestic and foreign research achievements , this paper investigates the effect of the limit system on the short - term stock market in China ' s A - share market firstly from the perspective of signal transmission from the knowledge trader . The limitation of this paper is : ( 1 ) In the case of taking up the board as an example , the construction of the stock - up and drop - off board can transfer the theory model of the useful information about the future trend of the stock to the market , considering that the stock price of the day is only once the case of closing up and closing the board , then opening up and closing the board , closing again and closing the board , and ( 2 ) we only consider the effect of the short - term stock price and the short - term stock market , and not consider the impact of the price shocks on the stock - term stock market like Gervai ( 2001 ) .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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