政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/125105

政大典藏 > College of Social Science > International Master`s Program of Applied Economics and Social Development > Theses > Item 140.119/125105

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/125105

Title:	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
Authors:	薛惠寧 Hsueh, Hui-Ning
Contributors:	王信實 Wang, Shinn-Shyr 薛惠寧 Hsueh, Hui-Ning
Keywords:	熔斷機制中國股市 Circuit Breaker China stock market Market efficiency CSI300 Index trade volume
Date:	2019
Issue Date:	2019-08-07 17:20:23 (UTC+8)
Abstract:	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.
Reference:	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
Description:	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
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0106926002
Data Type:	thesis
DOI:	10.6814/NCCU201900491
Appears in Collections:	[International Master`s Program of Applied Economics and Social Development] Theses

Files in This Item:

File	Size	Format
600201.pdf	1479Kb	Adobe PDF2	253	View/Open

社群 sharing

Loading...