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为了降低股市风险,提高市场运作效率,我国对ST股票实行远低于非ST股票的5%涨跌幅限制,但是该措施是否能够很好地控制ST股票的波动性却值得商榷。本文使用Sharp的β值检验以及带有涨跌停虚拟变量的线性模型,对在沪市交易的20余只股票的波动性进行实证研究,发现5%的涨跌幅限制不仅不能有效控制波动性,反而会产生波动性溢出效应,加大了市场风险。
In order to reduce the risk of the stock market and improve the efficiency of the market operation, the implementation of ST stock in China is much lower than the 5% increase and decrease limit of non-ST stock. However, it is debatable whether this measure can control the volatility of ST stock well. In this paper, we use Sharp’s beta test and the linear model with the price-daily variable to test the volatility of more than 20 stocks traded in the Shanghai Stock Exchange. It is found that the 5% fluctuation limit not only can not effectively control the volatility , But will have a volatile spillover effect, increasing the market risk.