最小报价单位对股价波动性的影响

Abstract

Abstract: The discreteness of observed stock prices in Shanghai stock market in 2001 is studied in this paper.The results show that the discreteness enhanced the volatility of stock prices.For low price stocks,the"compass rose"patterns of plotting stock returns against themselves with one time period’s lag indicates the auto-correlation of the stock returns.Some simulations show that the discreteness of stock prices makes the variance,skewness,and kurtosis of stock returns deviate their"true"values,and the effects of discreteness on low price stocks are stronger than on high price stocks.At the end of this paper,policy suggestions are proposed concerning the minimum price variation rule for Chinese security market.

Key words: tick size, volatility, discreteness

CLC Number:

F830

KONG Ai-guo, HUNAG Jian-bing, HU Wei. The Effect of Tick Size on the Stock Prices Volatility[J]. Chinese Journal of Management Science, 2003, (5): 1-7.

References

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The Effect of Tick Size on the Stock Prices Volatility

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