Research On The Limit Of The Rise And Fall Of GEM In China

The price limit strategy has always been a common price stability mechanism in the stock market.Its purpose is to restrain the sharp rise and fall of the stock price,protect the stability of the market and prevent the financial crisis.China's growth enterprise market has been restricted by 10% symmetrical price limit since it was listed.Its original intention is to prevent the sharp fluctuation of stock price,give investors and the market enough buffer time,and stabilize the market.However,scholars at home and abroad have different opinions on the actual effect of this strategy.Many scholars believe that the significance of limit of fluctuation is not to reduce the fluctuation of stock price,but to delay the time of fluctuation of stock price,to increase the volatility of stock price in the following trading days,to delay the formation of equilibrium price,to hinder the rational role of market mechanism,and to greatly reduce market efficiency.In addition,some scholars have found through empirical research that the increase limit and decrease of symmetry Amplitude limitation may have an asymmetric effect on the market.In order to study the limit of the rise and fall of the GEM market in China,especially whether the rise and fall limit affect the formation of the equilibrium price of the stock and reduce the operation efficiency of the market,this paper uses the method of empirical research to test.In this paper,TGARCH(1,1)model with virtual variable of price limit is established to test the effect of price limit on the volatility of growth enterprise market,that is,the volatility spillover effect.For the impact of price limit on the effectiveness and liquidity of GEM market,i.e.price delay discovery effect and liquidity interference effect,this paper uses two methods to test,i.e.event study method and group study method,and draws the following conclusions:(1)The limit of increase will make the volatility of stock return series spill over to the next trading day and intensify the volatility of the next trading day,but the limit of decline will restrain the volatility of the next trading day to some extent.(2)When the stock price rises,the implementation of the limit will affect the price behavior of the next day,hinder the price of the day to move to the equilibrium price,and delay the whole process of price discovery.When the decline of stock price touches the limit of decline,there is a certain degree of price reversal in the subsequent trading days,which shows that the implementation of the limit of decline does not produce the effect of price delay discovery,but corrects a certain degree of overreaction.(3)When the stock price rises,the implementation of the limit will make the stock turnover rate of the next day significantly higher than before,along with the increase of liquidity,which shows that the implementation of the limit hinders the trading activities of the day,resulting in the liquidity interference effect.When the stock price falls,whether or not the limit is reached,the investors get the equilibrium price they want on the event day.The implementation of the limit does not reduce the liquidity of the market.The above conclusion shows that the limit of growth and decline in GEM market is reasonable and necessary,but it also has some disadvantages.Therefore,this paper continues to build a vf-egarch-m model based on the value function,combining with the extreme value theory,and proposes an improved design scheme of growth and decline limit in GEM market,that is to keep the 10% decline limit unchanged,and try to relax the 10% increase limit to 15 %The results show that the adjustment can effectively correct the skewness of the return rate,and make the subjective attitude of investors to the stock market rise and fall tend to be consistent,and the stock market operation presents a symmetrical effect.