Price Limits and Liquidity: A Five-Minute Data Analysis

停板限制與流動性：五分鐘盤中資料分析

陳溢茂(Yea-Mow Chen)

《中國財務學刊》 4卷3期 (1997/01) Pp. 45-65

https://doi.org/10.6545/JoFS.1997.4(3).3

摘要

本文旨在探討漲幅限制對市場流動性的影響。傳統的阻礙交易效果（The Barrier Effest）和吸引力效果（The Gravitational Effect）的比較是本文的重心。本文發現，尤其是在漲跌停板在30分鐘或以內時，漲跌停板前之交易量比漲跌停板時更大，顯示漲跌停板吸引了投資者即時交易。但在漲跌停板連續一天或更長，漲跌停板後的交易量比漲跌停板時或之前更大，代表了漲跌幅限制阻礙了交易。

關鍵字

漲跌幅限制 ； 市場流動性 ； 漲跌停板

並列摘要

This study examines the effects fo price limits on market liquidty. The conventioal barrier effect was contrasted with the gravitational effect of limit moves on liquidity. There were evidence to show that price limits provide a signal for investors to rush in to unload their holdings when price limits are approaching, thus supporting the gravitational effect. The gravitatioal effect is more significant when limit hits lasted 30 minutes or less. There were also evidence to show that price limits represent barriers to trade as trading contimued to rise after limit hits were over, at least for limit hits lasted one day or longer. Both the gravitational and barrier effects are evidenced depending on the length of limit hits.

並列關鍵字

Price Limits ； Market Liquidty ； Limit Moves