Wan Yu-Lei, Xie Wen-Jie, Gu Gao-Feng, Jiang Zhi-Qiang, Chen Wei, Xiong Xiong, Zhang Wei, Zhou Wei-Xing
Department of Mathematics, School of Science, East China University of Science and Technology, Shanghai 200237, China; Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China.
Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China; Department of Finance, School of Business, East China University of Science and Technology, Shanghai 200237, China; Postdoctoral Research Station, School of Social and Public Administration, East China University of Science and Technology, Shanghai 200237, China.
PLoS One. 2015 Apr 13;10(4):e0120312. doi: 10.1371/journal.pone.0120312. eCollection 2015.
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners.
一些股票市场（尤其是新兴市场）采用涨跌幅限制交易规则，试图抑制交易员对个股的短期交易狂热，并提高市场效率。在这种微观结构下，股票可能会不时触及涨停和跌停。然而，由于美国市场和大多数欧洲市场等主要股票市场没有设置涨跌幅限制，涨跌幅触及行为的研究并不充分。在此，我们对2000年至2011年在上海证券交易所和深圳证券交易所交易的所有A股普通股的高频数据进行详细分析，以研究涨跌幅触及的统计特性以及股价触及涨跌幅限制前几个重要金融变量的动态演变。我们比较涨停触及和跌停触及的特性。我们还将整个时期分为三个牛市时期和三个熊市时期，以揭示牛市和熊市市场状态下可能存在的差异。为了揭示股票市值对涨跌幅触及的影响，我们根据不同交易日的市值将所有股票分为六个投资组合。我们发现涨跌幅限制交易规则具有冷却效应（反对磁吸效应），表明该规则在中国股票市场中有效。我们发现，在触及涨跌幅限制后的下一个交易日，价格延续比价格反转更有可能发生，尤其是对于跌停触及，这对市场从业者具有潜在的实用价值。
