英文标题：
《The cooling-off effect of price limits in the Chinese stock markets》
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作者：
Yu-Lei Wan (ECUST), Gang-Jin Wang (HNU), Zhi-Qiang Jiang (ECUST),
  Wen-Jie Xie (ECUST), Wei-Xing Zhou (ECUST)
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最新提交年份：
2018
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英文摘要：
  In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some financial variables over a period of time before the stock price hits its limit. Secondly, from the probability perspective, we investigate, with the logit model, the existence of the cooling-off effect through analyzing the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 and inspecting the trading period from the opening phase prior to the moment that the stock price hits its limits. A comparison is made of the properties between up-limit hits and down-limit hits, and the possible difference will also be compared between bullish and bearish market state by dividing the whole period into three alternating bullish periods and three bearish periods. We find that the cooling-off effect emerges for both up-limit hits and down-limit hits, and the cooling-off effect of the down-limit hits is stronger than that of the up-limit hits. The difference of the cooling-off effect between bullish period and bearish period is quite modest. Moreover, we examine the sub-optimal orders effect, and infer that the professional individual investors and institutional investors play a positive role in the cooling-off effects. All these findings indicate that the price limit trading rule exerts a positive effect on maintaining the stability of the Chinese stock markets.
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中文摘要：
本文从两个方面研究了冷却效应（与磁体效应相反）。首先，我们从动力学的角度出发，通过跟踪股票价格达到极限之前一段时间内一些财务变量的动态演化，研究了冷却效应的存在性。其次，从概率的角度，通过对2000年至2011年沪深两市A股普通股交易的高频数据进行分析，并从开盘阶段到股价达到极限之前的交易周期进行检验，运用logit模型考察了冷却效应的存在性。通过将整个期间划分为三个交替的看涨期和三个看跌期，对涨跌幅之间的性质进行比较，并比较看涨和看跌市场状态之间可能存在的差异。我们发现，上限命中和下限命中都会出现冷却效应，并且下限命中的冷却效应比上限命中的冷却效应强。看涨期和看跌期之间的冷却效应差别不大。此外，我们还检验了次优订单效应，并推断专业个人投资者和机构投资者在冷却效应中起着积极作用。所有这些结果表明，限价交易规则对维护中国股市的稳定起到了积极的作用。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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