The Impact of Daily Return Limit and Segmented Clientele on Stock Returns in China
The Impact of Daily Return Limit and Segmented Clientele on Stock Returns in China
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DOI：
10.2139/ssrn.1358875
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发表时间：
2010-09
期刊：
影响因子：
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通讯作者：
Haim Kedar-Levy;Xiaoyan Yu;Akiko Kamesaka;U. Ben-Zion
中科院分区：
文献类型：
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作者：
Haim Kedar-Levy;Xiaoyan Yu;Akiko Kamesaka;U. Ben-Zion
本文研究了沪深两市A、B类股票在实施± 10%日收益率限制前后以及投资者客户细分与合并时的日收益率均值和方差。我们发现，施加± 10%的回报限制显着降低了A类股票的方差，但增加了B类股票的方差。这个难题似乎与不同的流动性效应有关。合并不同股票类型的客户降低了风险，增加了平均回报，提高了效率。收益率主要产生于客户合并前的开盘日（A类）或交易日（B类），但此后的形式各不相同。
Mean and variance of daily type A and B stock returns in Shanghai and Shenzhen exchanges are studied before and after these stocks were subject to a ± 10% daily return limit, and when investors' clientele were segmented, vs. merged. We find that imposing the ± 10% return limit significantly reduced the variance of type A stocks, but increased the variance of type B stocks. This puzzle appears to be related to different liquidity effects. Merging clienteles across stock types reduced their risk, increased mean return, and improved efficiency. Returns were generated primarily at the opening (type A) or trading day (type B) before the clienteles merged, but in a mixed format thereafter.