The Influence Of Circuit Breakers To Chinese Stock Market

Circuit breaker is a kind of market Protective mechanism, According to prevent panic selling in the case of sharp fluctuations in the stock market,The United States introduced circuit breakers firstly.Nowadays many countries and regions around the world bengin to use circuit In different degrees and scopes.With the approval of the China securities regulatory commission,The Shanghai stock exchange, shenzhen stock exchange, cicc has also issued a regulation about When to start the implementation of circuit breakers.But for many reasons,Circuit breakers lasting in the China’s securities market only for four days.Circuit breakers is performed to maintain the stability of the market and the effect of price limit system has been praised by scholars dispute.The point against the stock market price stability respected mainly in three aspects:Whether the policy will cause the volatility spillover effect, delayed price discovery effect and transaction blocking effect.The purpose of this study is to explore the implementation of circuit breakers on the impact of the stock market when reserving price limit system.Firstly,we should shows the relationship between the volume and yield through the granger causality test and GARCH model test.Then empirical testing relevant to volatility spillover effect, delayed price discovery effect and transaction blocking effect should be analysed. Through the comparison to show the influence of circuit breakers on the market efficiency,and the cause of the lower market efficiency.Through the empirical research conclusion is as follows:Firstly,Through the test in the relationship between trading volume and returns, we found that Trading volume is closely related to yield.And because of the implementation of circuit breakers,Information on the price reaction rate becomes slow,we conclude that circuit breakers does reduce the market liquidity.Secondly,Through the contrastive analysis we can find that the point that the implementation of the circuit breaker caused the volatility spillover effect and the effect of the trading block is wrong,Even, due to the implementation of circuit breakers,delayed price discovery effect become weaker.thirdly, The increase of market volatility is not completely caused by circuit breakers, Market efficiency is reduced by the dual regulation instead of circuit breaker.Finally, By analyzing the above results, in order to improve the efficiency of securities market, this paper puts forward some policy recommendations,including the need to strengthen the information disclosure system、choosing an Appropriate regulatory system between ciruit breakers and price limits policy,and so on.