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The Effectiveness of Price Limits on the Futures Price Discovery Process and Volatility: An Empirical Analysis in Shanghai Futures Exchange
Author(s): 
Pages: 86-93
Year: Issue:  5
Journal: THE JOURNAL OF QUANTITATIVE & TECHNICAL ECONOMICS

Keyword:  期货市场涨跌停板价格发现波动性;
Abstract: 本文通过检验在出现涨跌停板之后一个交易日的期货价格及其波动性的变化情况,研究了涨跌停板制度对上海期货交易所期货价格变动的影响.研究结果显示,对不同的期货品种,涨跌停板制度的影响存在一定的差异,但总体而言,涨跌停板制度并没有起到防范价格过度反应和降低市场波动性的作用.相反,在一定程度上延缓了期货市场价格发现功能的发挥,增大了市场的波动性.
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