Abstract:
In this paper, we use the idea of natural experiment to examine the effect of circuit breaker on the stock market. The two trading days (January 4th and 7th,2016 ) are included in the Circuit Breaker Treatment, and three trading days when the HS300 stock index decreased more than 7% in 2015 are included in the Control Treatment. Based on the intraday stock trading data, the empirical results show that the circuit breakers when implemented significantly increased order imbalance and market participants displayed behavior consistent with the magnet effect. Especially, after the HS300 index fell by 5%, the circuit breakers played a role on increasing the order imbalance on stocks no matter they hit the price limit or not. The effect of circuit breaker was first observed in H300 index stocks and then in the non-HS300 stocks. The magnet effect of circuit breaker is sensitive to the trading volume of Share Price Index Futures, margin trading and trading from the channel of Shanghai-Hong Kong Stock Connect program. Our results have implications for improving the mechanism and regulation aimed at maintaining the stock markets during turbulent periods.
杨晓兰, 金雪军. 我国股票市场熔断机制的磁力效应:基于自然实验的证据[J]. 金融研究, 2017, 447(9): 161-177.
YANG Xiaolan, JIN Xuejun. Magnet Effects of Circuit Breaker in Chinese Stock Markets: Evidence of Natural Experiments. Journal of Financial Research, 2017, 447(9): 161-177.
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