上海股票市场波动实证性研究:2001--从交易方式角度透视

我国股票市场上的交易方式有两种,即集合竞价和连续竞价,交易方式的差异会对股价的波动性产生影响,而市场的波动性对股票市场而言是双刃剑,因此从交易方式角度探求股市的适度波动成为理论工作的一个重心.本文以上海股票市场为研究对象,针对2001年的全部交易数据进行实证研究.结果表明,集合竞价形成的开盘价格收益率的方差大于连续竞价形成的收盘价格收益率的方差,其原因在于集合竞价与连续竞价相比,其交易过程的透明度差和交易指令具有不可更改性,据此,从交易制度上提出政策建议.

A Study of the Volatility of Stock Price in the Shanghai Stock Market: 2001

Call procedure and continuous auction procedure are the two main trading methods in the Shanghai stock market. They have different influence on the volatility of the stock price, while this volatility is a double edged knife for the stock market. Therefore, a study of the proper fluctuation in the stock market from the viewpoint of trading mechanism has become a major issue of theoretical study. This paper makes a positive study of the 2001 trading data. The results indicate that the variance ratio of open to open returns to close to close returns, which are generated from call and continuous auction respectively, is consistently greater than l. The reason is that, as compared with the continuous market, the call market has the lack of disclosure and the inability to revise orders. Accordingly, this paper makes some suggestions to improve the trading rules.