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Price limits on the Chinese stock market volatility

Author: DaiLanLan
Tutor: PanGuanZhong；WangXueHong
School: Yunnan University of Finance
Course: Finance
Keywords: Price stabilization mechanisms Price Limits Volatility ARMA-GARCH Family Model
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 52
Quote: 1
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Abstract


For the purpose of reducing the volatility and stabilizing the stock market, at December 16, 1996, regulatory authortities began to implement the current price limits. So far, how its impact on China’s stock market, whether really helps stabilize the stock market, and improve the market efficiency, as well as how to set price limits are more reasonable, are the focus of academic debate.Price limits is one of the most widely used price stability measures in stock markets around the world, its main role is to inhibit excessive volatility in the stock market, and stabilize the market. But as a human intervention measure, price limits may interfere with the normal transactions, lead to price behavior distortions, so the academic system of the practical effect of price limits has always been a heated debate.This article bases on the conclusion of discusses of the domestic and foreign scholars. At first, price limits on development in China and in the international comparative study of the application, and family-based ARMA-GARCH volatility model, select January 1, 1993 to December 31, 2010 as the Shanghai index and empirical data that the closing to December 16, 1996 as the boundary of these data is divided into two sub-samples, before and after the implementation of price limits on China’s Shanghai and Shenzhen Stock markets, volatility empirical study found that China’s implementation of the existing price limits to some extent reduce the volatility of stock markets, and increased the sensitivity of bad news, but because of the existence of volatility spillover effects, the role to lower the continuous wave is not obvious.Thus, although for now, the price limits market intervention as a means of government is necessary, but with the norms of the growing and maturing markets, price limits should also be synchronized sound, or even switch to consider abolishing the use of other Price stability mechanism, price limits can also be price stability and other measures to support in order to increase market efficiency.This article is divided into six parts in general. The first part introduces the background, study and research ideas; the second part of domestic and foreign scholars study the dynamic price limits; the third section describes the mechanism of stock price stability, and development of the system of price limits as well as the international comparison; the fourth part of the volatility and volatility model system elaborated; fifth part as the core of this article, implementation of the system of price limits on stock markets volatility of the impact of empirical studies; the sixth as this the conclusion reached by this paper summarizes the findings and deficiencies, and propose policy recommendations.

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