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论文编号：	28
作者编号：	2120052031
上传时间：	2007/6/20 22:37:15
中文题目：	中国股票市场涨跌幅限制制度效率
英文题目：	Experimental Study on the Effe
指导老师：	李建标
中文关键字：	涨跌幅限制;实验经济学;证券市场
英文关键字：	Price Limits;Experimental Econ
中文摘要：	在市场经济中，证券市场起着重要作用。波动性是证券市场与生俱来的特性，股价波动是证券市场正常运行的基础；然而，过度的波动性将必然对证券市场的健康运行产生不利影响，增大投资者风险。所以，涨跌幅限制作为最主要的证券市场稳定措施之一，其主要作用是抑制过度波动、稳定市场，但涨跌幅限制作为一种人为干预市场的措施，有可能会干扰正常交易，导致价格行为的扭曲，长期以来有关涨跌幅限制的政策效果一直存在较大的争议，规范研究和实证研究并没有得出统一的结论。 本文借鉴实验经济学的基本方法，利用计算机实验系统，选取真实的参与人，在可控制性的实验条件下进行虚拟证券交易。通过对实验数据的分析对比，对涨跌幅限制制度的效果进行了检验。 本文的主要研究内容包括：首先，设置无涨跌幅限制和存在涨跌幅限制两组不同的实验环境，选取实验参与人进行证券交易，研究涨跌幅限制制度对证券市场的流动性、波动性和有效性产生的影响；其次，改变了涨跌幅限制幅度，进行不同涨跌幅限制幅度的对比实验研究；再次，本文进行了涨跌幅限制制度与静态涨跌幅限制的对比实验研究和涨跌幅限制制度与个股断路器的对比实验研究；最后，本文构建了由两支股票组成的证券市场，并在此市场框架下测度了不同禀赋对参与人的决策行为的影响。 研究结果显示，与没有价格限制的基准实验相比较，涨跌幅限制显著的抑制了价格对基础价值的偏离，降低了证券市场的波动性，提高了市场的信息反映程度，但降低了市场的流动性；实验结果还表明，静态涨跌幅限制是相对较好的价格稳定措施，可以提高市场的效率，但降低了市场的流动性；相较于初始禀赋较少的参与者，初始禀赋更多的参与者的交易量的确更多。
英文摘要：	The security market is very important in the market economy. Volatility is the native characteristic of the security market, and the price volatility is also the basis of normal market operation. But excessive volatility will impact on the healthy operation of the market, and it will increase the investors’ risk. So price limits are measures worldwide adopted to stabilize securities markets. But price limits may interfere with trading activities. Many related researches haves been conducted, but there has no consistent result. Referring researches of experimental economics in western countries, this dissertation applies the computer experimental system and recruits participants to build laboratory securities markets. Therefore researches of this dissertation are based on analyzing the experimental data. The main content of this thesis are as follows. Firstly, we design 2 sessions of experiments with no price limits and price limits to study the effectiveness of price limits from volatility, liquidity and efficiency. Participants are involved in those experiments by a computer experimental system. Besides, this thesis also includes several experimental comparative studies, between different range of price limits, between the institution of price limits and static price limits, and between the institution of price limits and single stock breaker. In addition, this thesis also verifies the difference of decision-making behavior among subjects with different endowments in a security market with two stocks. Experimental results show, as compared with the experiments without price limits, price limits can eliminate the price bubbles in the markets and improve the information efficiency significantly, but it can decrease the liquidity in the markets. In addition, static price limits is the best one of all, it can block the continuity of trading, improve the effectiveness of the markets, but decrease the liquidity in the markets. Compared with the subjects with fewer endowments, the subjects with more endowments transact more active.
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