The Research On Effects Of Price Limits And The Setting Of Price Moving Bound In SHFE

The property of financial products and the market microscopic system are two most basic factors of financial market field. The market microscopic system is especially important because it guarantees the steady of financial market movement as well as better utilization of self-properties of financial products.Along with aggravate fluctuation of financial market and more participation of small investors in recent years, how to prevent large price fluctuation and control the market risk becomes the most important thing in financial microscopic system. The implementation of Price Limits is the most important method to solve this problem nowadays because the Price Limits can control the fluctuation of market price in certain moving bound and the implementation is simple. Thus it receives wide utilization of financial market managers in various countries. However, many people think that the implementation of Price Limits has destructed the freely operation and the free gambling rule of market itself. Therefore to analysis in the implementation effect of Price Limits and to set the price moving bound have vital significance.Based on overseas researches, this article suspends the correlation research of Price Limits effect and adopts newest research technique of statistical analysis from the metered angle and researches the Price Limits effect of Shanghai futures market and setting of moving bound for Price Limits.Firstly, the article gives explanation the reasons of the Price Limits effect and carries on theoretical analysis. Then, under the foundation of turnover shift effect of commodities'contracts in different months using the T-GARCH model to suspend the price behavior influence, this article studies the influence of Price Limits in the Shanghai future market on market fluidity and the price behavior in order to prove whether the Price Limits has achieved the goal supposed in advance. Finally, from the upper basis, the setting of price moving bound for Price Limits in SHFE has been discussed by using the extreme value theory.The result indicates that implement of the Price Limits not only has inhibitory effect on the price of Shanghai future market, but also destroys the price discovery function of futures price to a certain extent. Meanwhile, the result shows that the price moving bound for Price Limits of the copper futures in SHFE could be amplified appropriately.