ABSTRACT
The stock price volatility is an important indicator to measure weather a stock
market is mature. And trade mechanism greatly influences the stock price volatility,
which is the most popular problem being researched these years. Based on the research
predecessors do, this paper first analysis the trade system theoretically which are used to
stabilize the price in our market: call auction, price limit and T+1.Then select and use
the data which were changed after the mechanism changed. The conclusion is:
1 When the call auction taked the place of continuous auction for the first time, this
mechanism played an important role on stabilizing the stock price. But after it was
changed into open call auction, it did not play the role as the anticipation;
2 According to the statics,the 10% price limit is effective on stabilizing stock prize
and control the private investor’s behavior of following the trend;
3 The mechanism of T+1 promote the stock price rise quickly for some days, then
go down in the next few days soon. And this phenomenon happened more frequently
than before which causes many private investors loss a lot.
Based on these conclusions, this paper analysis the game process between different
sides in different trade mechanism. Then gives the improvement project:
1 The result of the game between the dominator and the private investors in the call
auction currently show that the mechanism could not prevent the behavior of the
dominators’ manipulation. But after lead in random ending, the result of the game show
that the expect profit of manipulation on opening price is less than of non-manipulation,
so the best choice of dominator is not manipulating the opening price, which reach the
aim of stabilizing stock price;
2 The combination of price limit and T+1 mechanism promotes the stock price rise
quickly for some days, then go down in the next few days soon. But the combination of
price limit and T+1 mechanism could make the success rates of manipulation much
smaller than before.
Key Words: Trade Mechanism Stock Price Volatility Game
Theory Call Auction Price Limit T+N