中国股市涨跌停板的溢出效应研究——基于时变权重矩阵的空间杜宾模型

周颖刚, 唐诚蔚, 许杏柏

系统工程理论与实践 ›› 2025, Vol. 45 ›› Issue (2) : 463-480.

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系统工程理论与实践 ›› 2025, Vol. 45 ›› Issue (2) : 463-480. DOI: 10.12011/SETP2024-0766
论文

中国股市涨跌停板的溢出效应研究——基于时变权重矩阵的空间杜宾模型

    周颖刚1,2, 唐诚蔚3, 许杏柏1,2,3
作者信息 +

Spillover effects of price limits on China stock market—Based on spatial Durbin model with time-varying weight matrices

    ZHOU Yinggang1,2, TANG Chengwei3, XU Xingbai1,2,3
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文章历史 +

摘要

本文基于2012--2020年中国A股主板市场的股票日度数据, 建立了空间权重矩阵具有时变特征的非平衡面板空间杜宾模型 (SDM), 对涨跌停板的溢出效应进行了研究. 实证结果表明, 股票的涨停板和跌停板能分别负向和正向地预测关联股票的未来收益率, 说明涨停板具有显著的负向溢出效应, 而跌停板具有显著的正向溢出效应. 本文进一步发现在涨跌停板的影响下, 关联股票间可能存在流动性的替代效应, 股票的涨停板不仅会吸引更多的资金流入, 而且也可能会增加其他关联股票的资金流出压力, 跌停板的情况相反. 此外, 本文发现在投机交易者的影响下, 股票的套利限制越高, 其触发涨跌停板而产生的溢出效应越强. 最后, 本文还发现涨停板和跌停板在未来短期内会对其他股票产生显著的波动溢出效应, 从而加剧市场的价格波动.

Abstract

Based on the daily stock data of China's A-share main board market from 2012 to 2020, this paper establishes an unbalanced panel spatial Durbin model (SDM) with time-varying spatial weight matrices to study the spillover effect of price limit hits. The empirical results suggest that the upper price limit hit (lower price limit hit) can predict the future return of the connected stocks negatively (positively), indicating a significant negative spillover effect (positive spillover effect). This study further finds that under the influence of the price limit hits, there may be a substitution effect of liquidity between connected stocks. The upper price limit hit of a stock can increase its own capital inflow, while the capital outflow of other related stocks may increase. The situation of the lower price limit hit is the opposite. In addition, due to speculative traders, the higher the limit of arbitrage of a stock is, the stronger the spillover effect caused by its price limit hit will be. Finally, the price limits have a significant volatility spillover effect on other stocks in the short-term future.

关键词

涨停板 / 跌停板 / 溢出效应 / 空间杜宾模型

Key words

upper price limits / lower price limits / spillover effect / spatial Durbin model

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周颖刚 , 唐诚蔚 , 许杏柏. 中国股市涨跌停板的溢出效应研究——基于时变权重矩阵的空间杜宾模型. 系统工程理论与实践, 2025, 45(2): 463-480 https://doi.org/10.12011/SETP2024-0766
ZHOU Yinggang , TANG Chengwei , XU Xingbai. Spillover effects of price limits on China stock market—Based on spatial Durbin model with time-varying weight matrices. Systems Engineering - Theory & Practice, 2025, 45(2): 463-480 https://doi.org/10.12011/SETP2024-0766
中图分类号： F832.5   

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基金

国家自然科学基金(71988101,72073110,72333001);国家社会科学基金重大项目(19ZDA060)
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