Magnet effects of circuit breakers in electronic order‐driven markets: Evidence from China
利用中国A股市场2016年初四次熔断触发事件的高频交易数据，研究发现市场接近下跌熔断阈值时价格进一步下跌，证实了磁吸效应，且全天停牌的第二层熔断比15分钟暂停的第一层熔断磁吸效应更强。
Abstract Since the American stock market crash of 1987, circuit breakers have been used worldwide to protect markets against extreme concentrated volatility. The true effects of circuit breakers, however, remain controversial. We investigate four circuit‐breaker triggering events in early 2016 in China's A‐share market to examine the magnet effects of market‐wide circuit breakers. By performing more than 150,000 logit regressions on more than 30 million observations obtained from firm‐level tick‐by‐tick trading data, we find that the prices of A‐shares tend to fall further when the market approaches its downward breaker limits, which is consistent with the magnet effects hypothesis. The second layer of the breaker, which halts all trading for the rest of the day, induces larger magnet effects than the first layer, which suspends trading for 15 minutes. Our results remain robust after controlling for the potential magnet effects of firm‐specific price limits and the intraday momentum effects of positive feedback trading. Stocks with higher risk, higher attention, and lower liquidity are significantly more affected by magnet effects, while constituent stocks of the CSI 300, the designated benchmark market index of circuit breakers, are insignificantly less affected.