Most of the securities markets in developed countries such as Europe and the United States have regulations on price limits. In China, Shanghai and Shenzhen stock exchanges, there is a trading system without price restrictions, but it is difficult to control the sharp rise and fall of stock prices. In history, there have been cases in which the share prices of Zhong Yan Industry (now Founder Technology, 60060 1), Shenhua Industry (now Brilliance Group, 600653) and Northeast Electric (now ST Northeast Electric, 0585) rose more than 100% a day, and there have also been cases in which Southwest Pharmaceutical (600666) plunged in one day. Therefore, the Shanghai and Shenzhen stock exchanges have also implemented two kinds of price limit systems: 5% and 10%. At present, the China, Shanghai and Shenzhen stock exchanges impose a price limit of 65,438+00%. The details are as follows: The Shanghai and Shenzhen Stock Exchanges impose price limits on the trading of listed stocks (including A and B shares) and fund securities from February 196 to 16, that is, within one trading day. The calculation formula is: closing price of the previous trading day × (1 10%). The calculation result is rounded to 0.0 1 yuan, and the entrustment exceeding the price limit is invalid, and the exchange will automatically cancel the order. For example, if the closing price of Shenzhen Development Bank (000 1) in the previous trading day was 17.8 1 yuan, its daily limit today is 17.8× 0.9 = 16.029, and it is/kloc-0 after rounding. Daily limit17.81×1.1= 19.591,rounded to19.59 yuan; The entrustment between 16.03 yuan and 19.59 yuan is valid, and the entrustment below 16.03 yuan and above 19.59 yuan is invalid. Since April 1998, China Securities Regulatory Commission has implemented special treatment for some listed companies' stocks, that is, ST, and its share price is limited to 5%. The calculation formula is: closing price of the previous trading day × (1 5%), and the calculation method is the same as above. In addition, for PT stocks, the increase is limited to 5%, and the decrease is not limited. For securities investment funds listed in the two cities after the old funds have been cleaned up and standardized, and funds listed in local stock exchange centers, the increase or decrease is limited to 30% of the net asset value of each fund unit at the time of listing, that is, the net asset value of each fund unit is × (1 30%), and the increase or decrease is limited to 10% of the closing price of the previous trading day from the next day. The most direct function of the price limit board is to restrain the ups and downs of the market in one day and prevent short-term market risks. On the other hand, the price limit also helps the price rise and fall to a certain extent, and it is also easy to be controlled by large funds. Generally speaking, the price limit can only change the trend of short-term market and individual stocks, and has little effect on the fluctuation of medium and long-term market. First, the volatility spillover hypothesis shows that the price limit can not reduce the volatility, but will cause the volatility to spread for a long time after the price stops, that is, the volatility will increase for at least a few trading days after the price stops, because the price limit prevents the intraday price from fluctuating greatly and hinders the immediate correction of the instruction imbalance. The volatility spillover hypothesis has been empirically supported by Kyle (1988) and Kuhn, Kursek and Locke (199 1). Second, the delay in price discovery is another high-cost problem caused by price limit. The hypothesis of price discovery delay shows that the limit of price fluctuation sets the range of price fluctuation in advance. Once the price fluctuation stops, the transaction is usually inactive or even impossible to close until the allowable range of futures prices is modified, which interferes with the price discovery process. After restricting the futures price movement, the futures contract may not reach its equilibrium price on the day of fluctuation, so the price discovery is delayed. If the price movement is hindered by the price limit, the futures price must wait until the next trading day to continue to move in the direction of the real price. Grundy and McNichols (1989), Brown and Jeningo (1989), Dow and Gordon (1989) proved that information can only be revealed and transmitted through transactions. Fama (1989) pointed out that the suspension of trading delayed the adjustment of the price to the basic value. The price discovery delay hypothesis is supported by Lehmann (1989), Lee, Ready and Seguin (1994). Third, the trading interference hypothesis shows that the price limit will interfere with trading. Once the futures price goes up and down, the contract will become illiquid, and the trading pressure will be heavier in the next few days. This means that, in general, the trading volume will be higher within a few days after the futures contract rises and falls. The necessity of capacity expansion, the price limit is a stable measure of China futures market. From the international experience, in order to prevent excessive speculation, most emerging financial markets adopt price limit measures, and with the development of the market, the price limit will generally be gradually relaxed (referred to as expansion). The risk control measures of China stock market follow this idea. In fact, the development of the futures market can also learn from this experience. According to the specific situation of the market development, the range of the price limit can be gradually adjusted rhythmically, thus promoting the healthier development of the market. Then, is it necessary to expand the 3% limit of soybean futures contract 1 and soybean meal futures contract of Dashang Institute? After reading the following sets of data, the answer is self-evident. Take the September soybean contract as an example. From April 16 to June 17, 2004, there were 8 ups and downs in 40 trading days, accounting for 20% of the trading days. On June 4, 2003, 5438+00,/kloc-0, a forced liquidation occurred in the bull market. Just over half a year later, on May 17, 2004, there was another forced liquidation event, this time in the deep correction of the bull market. It can be seen that the price limit of 3% is no longer suitable for the current market situation and must be expanded. of course