4、实证分析

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3 1 2 Samuelson 1972 Pazner & Rasin (1974) Waugh (1994) Oi (1961) frictionless Beja & Hakansson, 1979 Hirshleifer, 1971 Poterba & Summers, 1988 Shiller (1981) Friedman 1953 rational speculation 1 3 3

4 1 σ t σ R 2 t i = t n t = ( Ri Ri) n i= 1 ( ) I i I i 1 I 2 i 1 t 1 2 t σ t t n t t i R i R i t I i i % 5% 5% 4

5 F = count( Ri > 5%, i = 1,2,3... ni ) t t F t 3 H I I i = [max( 1, I I I 2... n ) min( 1, I I I 2... n )]/ min( 1, I 2... n ) H i I max(i 1,I 2 I n ) i min(i 1,I 2 I n ) i 4 5% A = ( Pn P 1 ) / P A P -1 P n

7 T+1 T

9 % 15% 20% 14. 9

10 , , ,

11 (%) , , , , , , , , , , ,

12 1999 1, , , , , , % % , % % % % % % % % % % % % 1 12

13 % % % % % % % % % % % % % % % % % % % % % % % % 4 B % % % % % % % % % % % % % % %

14 % % % % % % % % % % % % % % % % % % % % % % % % % % % % % %

15 % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % 2 15

16 % % A T+0 T % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % 16

17 Yt = α + β1gdpt + β 2CPI t + β 3Debtt + β 4Interestt + β 5 Volumet + β 6 Pr ofit + ε t Yt t t GDPt t CPI t t Debtt t Interestt t Volumet t Pr ofit t t

18 1.6 F P F P Intercept GDP CPI Debt Interest Volume Profit R Intercept 3 4 R

19 19

20 GDP % F

21 2.2 ( - ) F P * * * GDP 0.05 GDP 0.78 T P GDP GDP GDP

22 CPI F ( - ) F P * *

23 ( - ) F P * * CPI 0.05 CPI T P CPI T P CPI CPI CPI 23

24 % 10.98% % 2.25% F ( - ) F P * *

25 T P T P σ σ σ σ = σ σ

27 % T P NODATA NODATA 27

29 NODATA %, % % % % %

30 / / % % % % % % % % % % , % % , % % , % % , , % % , , % 1, % % 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% / T P

31 T P

32 , ( ), 10, 15, % 10%

33 F ( - ) F P * * * ( ) % , , , , , , , , ,

34 % F ( - ) F P * * * T P

35 F ( - ) F P * * % 12.52% 5 11% 14.06%

36 T+0 T+1 B T % WTO % 6%

37 T

38 T+0 T+1 T T+1 T+1 T+0.5 T+0 T T+1 F T+1 ( - ) F P * * 0.05 T T+1 T+0 38

39 % % % % % 5 5 1% 5% % % 1% 5% % % 2% % ST 5% PT 5% 5% 1 10 ST 5 T T 10 5 T T-2,T-1,T+1,T+2 39

40 ST ST % % % % % 36.36% 16.67% 33.33% 22.58% % 18.18% 0.00% 0.00% 16.13% % 45.45% 83.33% 66.67% 61.29% % % % % % 7 22% 5 16% 19 61% 78% 31 67% t

41 p= p= p= p= t ST5 ST

42 3.4 ( - ) F P * * ST PT p=

43 ST ( 43

44 7 ) F ( - ) F P * *

47 47

48 S&P

49 7% % % %40% 5% 10% % 2 (Circuit Breaker) (Circuit (Brady) % 20% 2 30% (1) (2) (3) 3200 [ ( ) ]5% ( Fast Market ) 49

50 KOSPI 10% 30 ( ) 40 10% 20% 3 Trading Halt

51 Ma, Rao Sears(1989) (Event Study) (Price Reversal) Greewald & Stein (1988,1991)

52 3% 5% 7% Lee, Sang Bin, Kim, Kwang-Jung (1995) Lee, Sang Bin, Chung, Jee Seok (1996) Chowdhry & Nanda (1998) (1993) (1995) Kenneth A. Kim & Piman Limpaphayom(2000) 1. 2 (Noise Trader) (Positive Feedback Strategies) Hopewell & Schwartz(1978) (1986) ; % 52

53 , % 5% Coursey & Dyl (1989) Grundy & McNichols (1989) (1990) (1996) VAR Kenneth A Kim & S Ghon Rhee (1997) Fabozzi & Ma(1988) Lauterbach, Beni & Ben-Zion, Uri (1993) Lucy F Ackert, Jonathan Hao, William C Hunter(1997) Expected volatility 53

54 1. NASD Joseph Hardiman Merton H. Miller ( ) Kyle(1988) Crossman 1990 Madhavan(1991) Avanidhar Subrahmanyam (1994) Lee, Ready & Seguin(1994) NYSE Katharine Ross & George Sofianos (1998) G. William Schwert (1998) Christie, Corwin & Harris (2000) NASDAQ

55 Corwin Lipson(2000) Lawrence Kryzanowski & Howard Nemiroff (1998) << >>

56 56

57 57

58 58

59 ST PT 59

60 ( 5 ). ( ) 60

61 61

62 20% 30% 1 GDP Y ) W i = i Y 100% (1) Y GDP W GDP Yi Wi i 62

63 R L GDP N R L R = 100% 2 N Y GDP 14.2% 1999 GDP 7.1%, L =14. 2% 7.1% = 7.1% N =3 Y % 2 L 7.1% R = 100 % = 100% = 23.17% 3 N Y % R ± R W R R W R W R : GDP % W%

64 GDP GDP GDP

65 GDP 3 GDP 4 GDP GDP R t = 1,2,N m=1,2,, N ; (h=1,2,, N ); t Rtm 1 Rth 2 R (c=1,2,, N 3 ) tc 1 A 65

66 R t I t I t Rt = +1 4 I t Rt t I t t B R R MV HV CV HR f MR f CR HR MR CR UR ( HR MR) Rtm th tc MV UR = MR + 5 MV + HV UR MR MV HR HV C R R R MV HV CV HR f MR f CR HR MR CR LR ( MR CR) MV LR = MR 6 MV + CV tm th tc 66

67 LR MR MV CR CV 2 I t = I ( t 1) (1 + R) (7) I t I ( t 1) R A 3 GDP 4 GDP B GDP GDP GDP 3 67

68 I eh I ah X uh = 8 I I el I al X dl = (9) I 5 ah al % %

69 % % % % 20% 20% 10% 10% % % %10%

70 % 15% 20%

71 ( ) ( % 85%) 10% 71

72 90% ST PT 10% 15% 20% 3. ( ) 5% 8% 1 4. B 72

73 A 80% (Sunshine Trading) 73

74 Stabilization Fund (Intervention Fund)

76 O

78 (Over-action) A % 100 A % %

79 3 WTO WTO

80 , 60%,,,,,, %

81 % 15% Securities Investor Protection Corporation, SIPC

82 % 5 20% 5% % SIPC 6 (CSRC) 82

83 p

84 Antulio N. Bomfim, Pre-Announcement Effects, News, and Volatility: Monetary Policy and the Stock Market, Monetary and Financial Market Analysis Working Paper, Federal Reserve Board, Washington, D.C Avanidhar Subrahmanyam, Circuit Breakers and Market Volatility: A Theoretical Perspective, The Journal of Finance, 1, March 1994, B. Aitken, Have Institutional Investors Destabilised Emerging Markets? IMF Working Paper, WP/96/34, Bekaert, Geert; Harvey, Campbell R. Emerging Market Volatility, Journal of Financial Economics, 43(1), January 1997, BIS, Annual Report , Basle, Bradley T. Ewing, Monetary Policy and Stock Returns, Bulletin of Economic Research 1/1/2001, Vol. 53 (Number 1), p Cao, C., E. Ghysels, and F. Hathaway, Price Discovery without Trading: Evidence from the NASDAQ Pre-Opening, Journal of Finance Castanias, Richard P., II, Macroinformation and the Variability of Stock Market Prices, New York, May Vol. 34, Issue Chan, K.C., W.G. Christie, and P.H. Schultz, Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities, Journal of Business, 1995, Chen, Carl R; Mohan, Nancy J.: Steiner, Thomas L. Discount Rate Changes, Stock Market Returns, Volatility, and Trading Volume: Evidence from Intraday Data and Implications for Market Efficiency. Journal of Banking and Finance, 23(6), June Chou, Nan-Ting & DeGennaro, Ramon P, Regime Changes in Stock Returns, Journal of Business Finance & Accounting, Oxford, Jan Chowdhry, Bhagwan; Nanda, Vikram. Leverage and Market Stability: the Role of Margin Rules and Price Limit. Journal of Business. 71(2), April 1998,

85 20. Christie, W.G., Corwin, Shane A., Harris, J.H., Et tu, Brute? The Role and Impact of Trading Halts in the NASDAQ Stock Market. NASDAQ working paper Corwin, Shane A., and Marc L. Lipson, Order Flow and Liquidity Around NYSE Trading Halts. Journal of Finance, 2000, 55, Deutsche Bundesbank, Financial Market Volatility and its Implications for Monetary Policy, Monthly Report, April D.S. Scharfstein & J.C. Stein, Herd Behaviour and Investment, American Economic Review, 1990, 80, E.P. Davis, Financial Market Activity of Life Insurance Companies and Pension Funds, Economic Paper No. 21, BIS, E.P. Davis, The Development of Pension Funds, an Approaching Financial Revolution for Continental Europe, in R. O Brien, ed., Finance and the International Economy 7, Oxford University Press, Fabozzi, F., and C. Ma, The Over-the-counter Market and New York Stock Exchange Trading Halts. Financial Review, 1988, 23, Ferris, S. P., R. Kumar and G.A. Wolfe, The Effects of SEC-Ordered Suspensions on Returns, Volatility and Trading Volume, Financial Review, 1992, 27, Fortune, Peter, An Assessment of Financial Market Volatility: Bills, Bonds, and Stock s, New England Economic Review, Boston, Nov/Dec Frederic S. Mishkin, Financial Policies and the Prevention of Financial Crises in Emerging Market Countries, National Bureau of Economic Research, Working Paper 8087, January G. William Schwert, Stock Market Volatility: Ten Years after the Crash. National Bureau of Economic Research Working Paper 6381, January Galeotti, Marzio; Schiantarelli, Fabio. Stock Market Volatility and Investment: Do Only Fundamentals Matter? Economica, 61(242), May 1994, Gerety, Mason; Leachman, Lori. Assessing Interest Rate and Exchange Rate Effects on Equity Market Volatility: The Case of the US, UK and Germany. Journal of Economics (MVEA), 22(2), 1996, Goldstein, Michael, and Kenneth A. Kavajecz, Liquidity Provisions during Circuit Breakers and Extreme Market Movements, Working paper, The Wharton School,

86 34. Hamao, Yasushi; Mei, Jianping. Living with the Enemy : An Analysis of Foreign Investment in the Japanese Equity Market, Columbia University, PaineWebber Working Paper Series in Money Economics, and Finance, PW/95/15, August Hamilton, James D; Gang Lin. Stock Market Volatility and the Business Cycle. Journal of Applied Econometrics. 11(5), Sept.-Oct. 1996, Hans Blommestein, Impact of Institutional Investors on Financial Markets, OECD Proceedings, Institutional Investor in the new Financial Landscape. OECD, H.J. Blommestein & K. Biltoft, Trends, Structural Changes and Prospects in OECD Capital Market, in: The New Financial Landscape, OECD, Paris, Hopewell, M. & A. Schwartz, Stock Price Movement Associated with Temporary Trading Suspensions: Bear Markets versus Bull Markets, Journal of Financial and Quantitative Analysis 1976, 11, Hopewell, M., & A. Schwartz, Temporary Trading Suspensions in Individual NYSE Securities, Journal of Finance, 1978, 33, International Organization of Securities Commissions, Objective and Principles of Securities Regulation, September International Organization of Securities Commissions, Emerging Markets Committee, Causes, Effects and Regulatory Implications of Financial and Economic Turbulence in Emerging Markets, Interim Report. September International Organization of Securities Commissions, Technical Committee, Regulatory Cooperation in Emergencies, A Discussion Paper, June International Organization of Securities Commissions, Technical Committee, Mechanisms to Enhance Open and Timely Communication Between Market Authorities of Related Cash and Derivatives Markets during Periods of Market Disruption. October Katharine Ross & George Sofianos, An Analysis of Price Volatility: October 27 and 28, NYSE Working Paper, 1998, Kenneth A Kim, Piman Limpaphayom, Characteristics of Stocks that Frequently Hit Price Limit: Empirical Evidence from Taiwan and Thailand. Journal of Financial Markets, 3(2000), Kenneth A Kim, S Ghon Rhee, Price Limit Performance: Evidence from the Tokyo Stock Exchange. The Journal of Finance, June 1997,

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涨跌幅限制与股价变动研究

涨跌幅限制与股价变动研究 3 3 4 4 5 4 6 4 5 0 price limits [-5] [6-] [-4] [3 5] [6] [4] [7-0] 998 Chen Kim K Rhee 997 [] Kim 000 [] 00 [3] Kim Kim 00 Kim 00 Kim 00 Huang 990 996 [4 5] 999 [6] 000 [7] 000 [8] 00 [9] 00 [30] [3]