股本规模、涨跌幅限制与触限频率的实证研究

本文运用广义矩估计(GMM)方法,对沪深上市公司价格触限频率与股本规模之间的关系进行回归分析。结果表明:流通股本规模越小的公司,其价格触限频率更高,而中小企业板股票的价格触限频率高于主板股票近两个百分点。研究说明中小企业板的涨跌停幅度应大于主板幅度,以更好地体现价格限制制度的作用。

An Empirical Research on Price Limit, Frequency of Hitting Price Limit and Equity Scale

Daily price limits in the securities markets may effect certain securities more often securities.To examine the correlation between the equity scale and frequency of hitting price limits,we examine two markets that impose daily price limit(Shanghai and Shenzhen stock market).We estimate the model by using the generalized method of moments(GMM).Overall,we find the small equity scale stocks hit price limit more than other stocks.We think the extent of the price limit of SMEs board should be bigger than its of main board.