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首先,利用希尔伯特—黄转换(HHT)法侦测了股价时间序列的结构转换,结果表明,无论是通过二级市场还是大宗交易平台减持,都会导致股价运行结构发生转换。其次,选出了与限售股解禁相关的、存在结构性转换的股票,并以结构转换点前后一段时间作为时间窗口,从市场微观结构角度出发度量了解禁股卖出对市场的冲击,研究表明,速度和相对宽度指标对波动率有较大的正向冲击。
First, using the Hilbert-Huang conversion (HHT) method to detect the time series of stock price conversion, the results show that whether through the secondary market or the bulk reduction of trading platform, will lead to the conversion of the stock price structure. Secondly, we choose the stocks with structural conversion related to the lifting of the restricted shares, and take the time before and after the conversion point as the time window to measure the impact of the ban on the market from the perspective of the market microstructure. Show that the speed and relative width of the volatility index has a larger positive impact.