Recently, Associate Professor Hu Conghui of our School, as the corresponding author, co-wrote the paper Price Cage, Liquidity and Price Discovery Efficiency -- Based on Evidence of the Reform of GEM Registration System, with Dr. Li Songnan, School of International Economics and Trade, University of International Business and Economics, and Professor Liu Yuzhen, Guanghua School of Management, Peking University, was published in the authoritative domestic journal Management World, issue 3, 2023, The purpose is to deeply study the reform of registration system, an important measure to build high-quality capital market, which is of great significance to perfect the trading system in the era of comprehensive registration system and improve the efficiency of price discovery in financial markets.

Price cage is an important trading system innovation supporting the reform of GEM registration system, aiming at maintaining instantaneous price stability and preventing abnormal fluctuations. In this paper, the influence of the introduction of price cage on the characteristics of market microstructure is discussed by using the method of differential difference. Based on the order by order and high-frequency price volume data of the Shenzhen Stock Exchange, the paper finds that the introduction of price cage reduces the orders outside the effective quotation range, reduces the price shock and bid-ask spread, but at the same time increases the persistence of the unbalance of buy and sell orders, and the ability of order unbalance to predict future price changes is also significantly enhanced. These evidences suggest that the implementation of price cages has the benefit of improving transaction liquidity, but also brings the cost of reduced price discovery efficiency. The results of heterogeneity analysis show that the market microstructure effect of price cage has significant cross-sectional differences in two dimensions: stock liquidity and information environment. The paper suggests that differentiated trading rules based on stock characteristics can be implemented in the future, so as to reduce the cost of price cage implementation and better play its role of price stability.

Management World is an academic journal sponsored by the Development Research Center of The State Council. Founded in 1985, it is one of the first academic journals recognized by the State Administration of Press, Publication, Radio, Film and Television, and one of the "Top 100 Social Science Journals" twice. It is also one of the key journals supported by the National Social Science Fund by the National Planning Office of Philosophy and Social Sciences. It is also an academic journal recognized by the National Natural Science Foundation of China. In the evaluation system of three social science periodicals, such as CSSCI (Chinese Social Sciences Citation Index), it has been the first of management journals for many years. In the journal evaluation of Chinese Academy of Social Sciences, it is praised as the only "top journal" of management. In terms of international influence, it ranks first among domestic management journals.

Li Songnan, Liu Yuzhen, Hu Conghui (corresponding author), Price cage, liquidity and price Discovery Efficiency: Evidence from the reform of the GEM Registration System, published in the Journal Management World, No. 3, 2023,

Link: https://mp.weixin.qq.com/s/Nft01qosDS2SDn21djFXGQ

About the author:

Hu Conghui is an associate professor at BNUBS. He received his PhD in Finance from Guanghua School of Management, Peking University. He received his Bachelor of Economics in Financial Engineering from Wuhan University. He was an associate professor at the International Business School of the University of International Business and Economics and a visiting scholar at Columbia Business School. His research field covers capital market, corporate finance and behavioral finance, focusing on understanding asset prices and corporate financial decisions from the perspectives of capital market institutional design and investor behavioral bias. In recent years, He has published articles in Economic Research, Management World (3 articles), Financial Research (4 articles), Accounting Research (2 articles), Economics (Quarterly), Nankai Management Review, Journal of Corporate Finance (2 articles) and Journal of Financial . More than 20 papers have been published in Markets, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Futures Markets and other domestic and foreign journals. He has hosted two National Natural Science Foundation projects, participated in several projects such as Joint research Plan of Shanghai Stock Exchange and key projects of Securities Association of China as a core member. He has been honored as "Outstanding Young Scholar Award of China Economic and Social Sciences", "Outstanding Young Scholar of Huiyuan", the third prize of National Business Finance and accounting paper, the Grand Prize of outstanding achievement of National Doctoral Academic Conference (Financial Forum) and the excellent paper award of several academic conferences, and has been selected as "Important Source author of Photocopying newspaper materials".

Provided by Disciplinary Research Office

Edited by Sun Yue

Reviewed by Cai Hongbo