市场摩擦与股价跳跃风险分析

商业研究

市场摩擦与股价跳跃风险分析

储小俊1，曹杰2

（南京信息工程大学 1.管理工程学院；2.雷丁学院，南京 210044）

收稿日期:2018-01-19 出版日期:2018-07-16
作者简介:储小俊（1976-），男，安徽桐城人，南京信息工程大学管理工程学院副教授，管理学博士，研究方向：资本市场；曹杰（1973-），男，安徽舒城人，南京信息工程大学雷丁学院教授，管理学博士，研究方向：管理信息系统、资本市场。
基金资助:
国家社科基金重大项目，项目编号：16ZDA054；国家社会科学基金项目，项目编号：13BJY165；江苏高校品牌专业建设工程资助项目资助；江苏高校优势学科建设工程资助项目资助。

An Analysis of Market Friction and Stock Price Jump Risk

CHU Xiao-jun1,CAO Jie2

(1. School of Management Science and Engineering, Nanjing University of Information Science &Technology, Nanjing 210044,China；2. Reading Academy, Nanjing University of Information Science & Technology, Nanjing 210044,China)

Received:2018-01-19 Online:2018-07-16

摘要/Abstract

摘要： 股价跳跃不仅给投资者造成巨大损失，也不利于证券市场的健康发展。本文检验了交易活动和信息摩擦对于股价跳跃的影响，发现交易活动和信息摩擦对股价跳跃有显著的影响力，但存在非对称影响效应。其中，交易活动对股价正跳跃产生影响，对股价负跳跃无影响；信息摩擦对股价正负跳跃均产生显著正影响，其方向取决于隔夜的新信息的冲击。股价负跳跃的原因是信息摩擦而非交易活动，因此，应该增加市场信息透明度来缓解股价负跳跃强度，以维护金融市场的稳定。

关键词: 交易活动, 信息摩擦, 跳跃

Abstract: The stock price jump not only causes huge losses to investors, but also is not conducive to the healthy development of securities market. This paper examines the effect of trading activity and information friction on stock price jump, finding that trading activity and information friction have an asymmetric effect on the stock price jump. The effect of trading activity on positive jump is positive but little on negative jumps; the effect of information friction on positive and negative jumps are both positive, and the direction of impact depends on overnight new information. In short, the reason of negative stock price jump is information friction rather than transaction activity. Therefore, negative jump could be reduced through higher market transparency to maintain the stability of financial markets.

Key words: trading activities, informational friction, jump

储小俊1，曹杰2. 市场摩擦与股价跳跃风险分析[J]. 商业研究.

CHU Xiao-jun1,CAO Jie2. An Analysis of Market Friction and Stock Price Jump Risk[J]. 商业研究.

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