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題名 中國股市熔斷機制對CSI300成份股的影響效果分析
On the impact of China’s Circuit Breaker Mechanism on the CSI300 constituent stocks作者 薛惠寧
Hsueh, Hui-Ning貢獻者 王信實
Wang, Shinn-Shyr
薛惠寧
Hsueh, Hui-Ning關鍵詞 熔斷機制
中國股市
Circuit Breaker
China stock market
Market efficiency
CSI300 Index
trade volume日期 2019 上傳時間 7-Aug-2019 17:20:23 (UTC+8) 摘要 無
The circuit breaker mechanism is primarily used as a financial monitoring tool to prevent extreme price volatility. This study explores whether after implementing the circuit breaker mechanism, the relevant policy will become more effective or will generate market panic and thus affect liquidity. Econometric analyses are used to verify the long-term and short-term impacts of a circuit breaker. The empirical results show that the liquidity has indeed decreased, but it did not exacerbate the investor`s selling behavior due to the policy implementation. Furthermore, the price drop is more severe in the short-term, while the trade volume decrease is more significant in the long-term.參考文獻 REFERENCES[1] Berkman, H., & Lee, J. B. T. (2002). The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange. Pacific-Basin finance journal, 10(5), 517-530.[2] Bollerslev,T.Generalized (1986) Autoregressive Conditional Heteroskedastic [J]. Journal of Econometrics, 31:307-327.[3] Boss M, Elsinger H, Summer M, et al. Network topology of the interbank market[J]. Quantitative Finance, 2004, 4 (6): 677-684.[4] Bindseil, U. (2013). Central Bank Collateral, Asset Fire Sales, Regulation, and Liquidity. European Central Bank Working Paper Series No.1610.[5] Cho, Russell, Tiao, et al. (2003)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange[J], 10(2): 133-168[6] Cynthia G. McDonald,David Michayluk. (2013) Suspicious trading halts[J]. Journal of Multinational Financial Management,13(3).[7] Du, Y., Liu, Q., & Rhee, S. G. (2006). An anatomy of the magnet effect: Evidence from the Korea Stock Exchange high-frequency data.[8] Engle R. (1982) Antoregressizve conditional heteroscedasticity with estimates of the Variance of UK inflation[J]. Econometrica, 50: 987-1008.[9] French, K. R., & Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of financial economics, 17(1), 5-26.[10] Freixas, X., B. Pargi and J. C. Rochet (2000). Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank[J]. Journal of Money, Credit and Banking, 32 (3): 611-638.[11] Jeff Chung, Li Gan, (2005) Estimating the effect of price limits on limit-hitting days, Econometrics Journal, volume 8, 79-96[12] Gerety, M. S., & Mulherin, J. H. (1992). Trading halts and market activity: An analysis of volume at the open and the close. The Journal of Finance, 47(5), 1765-1784.[13] Greewald BC, Stein J C. (1991) Transactional Risk, Market Crash-es, and the Role of Circuit Brealers [J] .Journal of Busi-ness, 64(4): 443-462.[14] Goldstein, M. A., & Kavajecz, K. A. (2001). Liquidity provision during circuit breakers and extreme market movements.[15] Humphrey D B. (1986). Payments finality and risk of settlement failure[J]. Technology and the Regulation of Financial Markets: Securities, Futures, and Banking (Heath, Lexington), 31(3): 97-120.[16] Huang, Y. S., Fu, T. W., & Ke, M. C. (2001). Daily price limits and stock price behavior: evidence from the Taiwan stock exchange. International Review of Economics & Finance, 10(3), 263-288.[17] Kim Y H, Yang J J.(2004). What makes circuit breakers attractive to financial markets? A survey. Financial Markets, Institutions & Instruments, 13(3): 109-146[18] Lauterbach, B., & Ben‐Zion, U. (1993). Stock market crashes and the performance of circuit breakers: Empirical evidence. The Journal of Finance, 48(5), 1909-1925.[19] Lee, C. M., Ready, M. J., & Seguin, P. J. (1994). Volume, volatility, and New York stock exchange trading halts. The Journal of Finance, 49(1), 183-214.[20] Lucy F. Ackert, Bryan K. Church, Narayanan Jayaraman,( 2001). “An Experimental Study of Circuit Breakers: The Effect of Mandated Market Closures and Temporary Halts on Market Behavior,” Journal of Financial Markets, Vol. 4, No. 2, pp.185-208[21] Minoiu C, Reyes J A. (2013). A network analysis of global banking: 1987-2010[J]. Journal of Financial Stability, 9(2): 168-184.[22] Santoni, G. J., & Liu, T. (1993). Circuit breakers and stock market volatility. The Journal of Futures Markets (1986-1998), 13(3), 261.[23] Shane A. Corwin, Marc L. Lipson ( 2000). “Order Flow and Liquidity around NYSE Trading Halts,” The Journal of Finance, pp.1771-1805.[24] Souma W, Fujiwara Y, Aoyama H. (2003). Complex networks and economics[J]. Physica A: Statistical Mechanics and its Applications, 324(1): 396-401.[25] Wang, C. F., Yao, N., Fang, Z. M., & Li, Y. (2008). An empirical research on jump behavior of realized volatility in Chinese stock markets. Systems Engineering, 2, 1-6.[26] Xiaobo, S., & Fen, Z. (2014). The International Experience and System Reconstruction of Cross-market Supervision on Stock Index Futures Market and Stock Spot Market——Reflection based on the Event of Dramatic Spike in Stock Indexes on 16th August Leaded by Everbright Securities [J]. Shanghai Finance, 3.[27] Yeh C H, Yang C Y (2013). Do price limits hurt the market? Journal of Economic Interaction and Coordination, 1-2 描述 碩士
國立政治大學
應用經濟與社會發展英語碩士學位學程(IMES)
106926002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106926002 資料類型 thesis dc.contributor.advisor 王信實 zh_TW dc.contributor.advisor Wang, Shinn-Shyr en_US dc.contributor.author (Authors) 薛惠寧 zh_TW dc.contributor.author (Authors) Hsueh, Hui-Ning en_US dc.creator (作者) 薛惠寧 zh_TW dc.creator (作者) Hsueh, Hui-Ning en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 17:20:23 (UTC+8) - dc.date.available 7-Aug-2019 17:20:23 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 17:20:23 (UTC+8) - dc.identifier (Other Identifiers) G0106926002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/125105 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 應用經濟與社會發展英語碩士學位學程(IMES) zh_TW dc.description (描述) 106926002 zh_TW dc.description.abstract (摘要) 無 zh_TW dc.description.abstract (摘要) The circuit breaker mechanism is primarily used as a financial monitoring tool to prevent extreme price volatility. This study explores whether after implementing the circuit breaker mechanism, the relevant policy will become more effective or will generate market panic and thus affect liquidity. Econometric analyses are used to verify the long-term and short-term impacts of a circuit breaker. The empirical results show that the liquidity has indeed decreased, but it did not exacerbate the investor`s selling behavior due to the policy implementation. Furthermore, the price drop is more severe in the short-term, while the trade volume decrease is more significant in the long-term. en_US dc.description.tableofcontents CHAPTER 1 INTRODUCTION 11.1 Research Background 11.2 Innovations and deficiencies 3CHAPTER 2 Literature Review 52.1 The influence of the price limit mechanism 62.1.1 Results of the price limits mechanism for different markets 62.2 The research of the circuit breaker mechanism 82.2.1 The literature from Europe and America 92.2.2 The literature from China 102.2.3 Review of research methods 11CHAPTER 3 Circuit Breaker and CSI300 133.1 The mechanism and its impact on market transaction 133.1.1 Cross-Market Conjunction 153.1.2 Two-way fuse mechanism 153.2 Background to implement the fuse mechanism 163.2.1 In China 163.2.2 In America 173.3 CSI300 18CHAPTER 4 Data & Methodology 204.1 Data 204.2 Methodology 25CHAPTER 5 Regression analysis 275.1 Long-term analysis 275.2 Short-term analysis 32CHAPTER 6 Conclusion 376.1 Core defect in the Chinese circuit breaker 386.1.1 Two mechanisms are implemented together 386.1.2 Chinese internal stock market structure 396.1.3 Problems of the Chinese version of the circuit breaker 406.2 Suggestions for the Future Development 43REFERENCES 45 zh_TW dc.format.extent 1514755 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106926002 en_US dc.subject (關鍵詞) 熔斷機制 zh_TW dc.subject (關鍵詞) 中國股市 zh_TW dc.subject (關鍵詞) Circuit Breaker en_US dc.subject (關鍵詞) China stock market en_US dc.subject (關鍵詞) Market efficiency en_US dc.subject (關鍵詞) CSI300 Index en_US dc.subject (關鍵詞) trade volume en_US dc.title (題名) 中國股市熔斷機制對CSI300成份股的影響效果分析 zh_TW dc.title (題名) On the impact of China’s Circuit Breaker Mechanism on the CSI300 constituent stocks en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) REFERENCES[1] Berkman, H., & Lee, J. B. T. (2002). The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange. Pacific-Basin finance journal, 10(5), 517-530.[2] Bollerslev,T.Generalized (1986) Autoregressive Conditional Heteroskedastic [J]. Journal of Econometrics, 31:307-327.[3] Boss M, Elsinger H, Summer M, et al. Network topology of the interbank market[J]. Quantitative Finance, 2004, 4 (6): 677-684.[4] Bindseil, U. (2013). Central Bank Collateral, Asset Fire Sales, Regulation, and Liquidity. European Central Bank Working Paper Series No.1610.[5] Cho, Russell, Tiao, et al. (2003)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange[J], 10(2): 133-168[6] Cynthia G. McDonald,David Michayluk. (2013) Suspicious trading halts[J]. Journal of Multinational Financial Management,13(3).[7] Du, Y., Liu, Q., & Rhee, S. G. (2006). An anatomy of the magnet effect: Evidence from the Korea Stock Exchange high-frequency data.[8] Engle R. (1982) Antoregressizve conditional heteroscedasticity with estimates of the Variance of UK inflation[J]. Econometrica, 50: 987-1008.[9] French, K. R., & Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of financial economics, 17(1), 5-26.[10] Freixas, X., B. Pargi and J. C. Rochet (2000). Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank[J]. Journal of Money, Credit and Banking, 32 (3): 611-638.[11] Jeff Chung, Li Gan, (2005) Estimating the effect of price limits on limit-hitting days, Econometrics Journal, volume 8, 79-96[12] Gerety, M. S., & Mulherin, J. H. (1992). Trading halts and market activity: An analysis of volume at the open and the close. The Journal of Finance, 47(5), 1765-1784.[13] Greewald BC, Stein J C. (1991) Transactional Risk, Market Crash-es, and the Role of Circuit Brealers [J] .Journal of Busi-ness, 64(4): 443-462.[14] Goldstein, M. A., & Kavajecz, K. A. (2001). Liquidity provision during circuit breakers and extreme market movements.[15] Humphrey D B. (1986). Payments finality and risk of settlement failure[J]. Technology and the Regulation of Financial Markets: Securities, Futures, and Banking (Heath, Lexington), 31(3): 97-120.[16] Huang, Y. S., Fu, T. W., & Ke, M. C. (2001). Daily price limits and stock price behavior: evidence from the Taiwan stock exchange. International Review of Economics & Finance, 10(3), 263-288.[17] Kim Y H, Yang J J.(2004). What makes circuit breakers attractive to financial markets? A survey. Financial Markets, Institutions & Instruments, 13(3): 109-146[18] Lauterbach, B., & Ben‐Zion, U. (1993). Stock market crashes and the performance of circuit breakers: Empirical evidence. The Journal of Finance, 48(5), 1909-1925.[19] Lee, C. M., Ready, M. J., & Seguin, P. J. (1994). Volume, volatility, and New York stock exchange trading halts. The Journal of Finance, 49(1), 183-214.[20] Lucy F. Ackert, Bryan K. Church, Narayanan Jayaraman,( 2001). “An Experimental Study of Circuit Breakers: The Effect of Mandated Market Closures and Temporary Halts on Market Behavior,” Journal of Financial Markets, Vol. 4, No. 2, pp.185-208[21] Minoiu C, Reyes J A. (2013). A network analysis of global banking: 1987-2010[J]. Journal of Financial Stability, 9(2): 168-184.[22] Santoni, G. J., & Liu, T. (1993). Circuit breakers and stock market volatility. The Journal of Futures Markets (1986-1998), 13(3), 261.[23] Shane A. Corwin, Marc L. Lipson ( 2000). “Order Flow and Liquidity around NYSE Trading Halts,” The Journal of Finance, pp.1771-1805.[24] Souma W, Fujiwara Y, Aoyama H. (2003). Complex networks and economics[J]. Physica A: Statistical Mechanics and its Applications, 324(1): 396-401.[25] Wang, C. F., Yao, N., Fang, Z. M., & Li, Y. (2008). An empirical research on jump behavior of realized volatility in Chinese stock markets. Systems Engineering, 2, 1-6.[26] Xiaobo, S., & Fen, Z. (2014). The International Experience and System Reconstruction of Cross-market Supervision on Stock Index Futures Market and Stock Spot Market——Reflection based on the Event of Dramatic Spike in Stock Indexes on 16th August Leaded by Everbright Securities [J]. Shanghai Finance, 3.[27] Yeh C H, Yang C Y (2013). Do price limits hurt the market? Journal of Economic Interaction and Coordination, 1-2 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900491 en_US
