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本文在对分别按照开盘价和收盘价计算的两种收益率的比较中发现了极值聚集现象 ,文中将形成这一现象的原因归结于市场中涨跌幅限制的存在 ,并建立了一个简单模型对此进行了说明。其后 ,利用市场中不存在涨跌幅限制时期的数据对该模型进行了验证。在结论部分 ,本文分析了除交易机制外造成两种收益率差异的其他因素 ,并认为有关交易机制对股价行为影响的研究有待深入。
This paper finds the phenomenon of extreme aggregation in the comparison between the two kinds of returns respectively calculated according to the opening price and the closing price. The reason of this phenomenon will be attributed to the existence of the limit of price rise and fall in the market and the establishment of a simple The model illustrates this. Later, the model was validated using data from periods where there was no limit for price movements in the market. In the conclusion part, this paper analyzes other factors that cause two kinds of difference in return rate except the transaction mechanism, and considers that the research on the influence of trading mechanism on the price behavior needs further study.