最小报价单位对股价波动性的影响

中国管理科学 ›› 2003, Vol. ›› Issue (5): 1-7.

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最小报价单位对股价波动性的影响

孔爱国, 黄建兵, 胡畏

复旦大学管理学院上海 200433

收稿日期:2003-02-17 修回日期:2003-09-09 出版日期:2003-10-28 发布日期:2012-03-06
基金资助:
国家社科基金资助项目(01BJL004);复旦大学亚洲研中心资助项目(SJH1019020)

The Effect of Tick Size on the Stock Prices Volatility

KONG Ai-guo, HUNAG Jian-bing, HU Wei

School of Management, Fudan University, Shanghai 200433, China

Received:2003-02-17 Revised:2003-09-09 Online:2003-10-28 Published:2012-03-06

摘要/Abstract

摘要： 本文以上海股市为研究对象,对最小报价单位所造成的交易价格的离散性进行研究。研究结果表明,上海股市价格的波动性较大,特别是对低价股而言,其两阶段收益率呈现出"发散的玫瑰"的形状,即其收益率具有自相关的特征。本文还通过模拟方法验证了市场价格的离散性使证券收益率的标准差、偏度和峰度在计量上产生的偏差,使股价的波动更为剧烈。当然,验证结果支持最小报价单位对低价股票的影响较大。针对理论分析和检验的结果,提出了对于市场最小报价单位规则变革的政策建议。

关键词: 最小报价单位, 离散性, 波动性

Abstract: The discreteness of observed stock prices in Shanghai stock market in 2001 is studied in this paper.The results show that the discreteness enhanced the volatility of stock prices.For low price stocks,the"compass rose"patterns of plotting stock returns against themselves with one time period’s lag indicates the auto-correlation of the stock returns.Some simulations show that the discreteness of stock prices makes the variance,skewness,and kurtosis of stock returns deviate their"true"values,and the effects of discreteness on low price stocks are stronger than on high price stocks.At the end of this paper,policy suggestions are proposed concerning the minimum price variation rule for Chinese security market.

Key words: tick size, volatility, discreteness

中图分类号:

F830

孔爱国, 黄建兵, 胡畏. 最小报价单位对股价波动性的影响[J]. 中国管理科学, 2003, (5): 1-7.

KONG Ai-guo, HUNAG Jian-bing, HU Wei. The Effect of Tick Size on the Stock Prices Volatility[J]. Chinese Journal of Management Science, 2003, (5): 1-7.

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最小报价单位对股价波动性的影响

The Effect of Tick Size on the Stock Prices Volatility

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