The Influence Of Fluctuation Limit System On Stock Price Volatility And Crash Risk

With the continuous increase of listed companies in China and the continuous development of the securities market,the stability of the stock market is crucial to the healthy and rapid development of China's market economy.However,the most prominent problem in China's securities market is speculative,stock market volatility,stock price plunging,stock market development is unstable,especially the stock price crash caused by the collapse is more harmful.The recent surge in the stock market has caused academics and industry to question the validity of China's ups and downs.It is generally believed that the high volatility of the stock market may come from the stock market trading structure and behavioral financial factors.For example,investors in China's stock market have long been based on ?retail investors?.It is generally believed that retail trading behavior is more susceptible to ?irrational factors?.Once panic attacks appear,it is easy to lead to competitive selling and mutual trampling.In order to confirm the true effect of China's rising and falling system on stock price volatility and stock price collapse risk,this paper takes A+H stock as the research object and selects the market data of 2014.1.1-2017.12.31 to measure and analyze the price limit of China's mainland market.The impact of the suspension system on stock market volatility and stock price crash risk.This paper conducts empirical research from three aspects: firstly,using the E-GARCH model to measure the impact of the price limit system on the overall market volatility of A shares and H shares,and secondly,using the fixed effect model to influence the price limit system.The role played by individual stock volatility was studied.Finally,the measure of the stock price crash risk was used to measure the risk of AH stock price collapse,and the correlation between it and the price limit system was studied separately.The study found that the financial market in mainland China was more affected by the good news in 2014-2015,that is,the volatility in the stock market's rising cycle is more obvious.This trend is exactly the opposite of the Hong Kong stock market trend.Compared with the Hong Kong stock market,the Chinese stock market digests the impact time.Longer.Under the impact of no bad news or good news,the mainland China stock market has higher volatility than the Hong Kong stock market;the mainland financial market that implements the ups and downs system has a price volatility or a stock price crash risk compared with the Hong Kong stock market.The empirical results confirm that in the current market environment,the implementation of the price limit system has an obvious positive effect on stabilizing China's stock market.