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本文以我国股票市场的15只个股的日间数据为例,利用事件研究法研究了日收益和价格限制的关系。发现上交所的限价制度基本上是有效的,不存在价格发现延迟。
Taking the day-time data of 15 stocks in the stock market of our country as an example, this paper studies the relationship between the daily income and the price limit by using the event research method. Found that the Shanghai Stock Exchange limit system is basically effective, there is no delay in price discovery.