Abstract:
Advocates of traditional regulatory measures in financial markets contend that these measures prevent investors from over-speculation and over-reaction, control the volatility, and stabilize the market. While the opponents argue that these measures impede price discovery, reduce the liquidity, and may reinforce the volatility. We analyze the volatility characteristics of the Chinese capital market and decompose it into systematic volatility and excess volatility. By tracking the events of regulatory policy change, we test the impact of six regulatory measures on Chinese stock market, including transaction tax, margin constraint, short-selling constraint, price limit, intra-day trading limit, and IPO limit. We find none of them can reduce volatility but most of them dampen market liquidity. There is also no evidence that volatility leads to policy change.
汪天都, 孙谦. 传统监管措施能够限制金融市场的波动吗？[J]. 金融研究, 2018, 459(9): 177-191.
WANG Tiandu, SUN Qian. Can Traditional Regulatory Measures Control the Financial Market Volatility？. Journal of Financial Research, 2018, 459(9): 177-191.
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