The Dark Side of Circuit Breakers
通过理论模型和实证分析，研究了熔断机制如何加剧市场波动、引发磁吸效应，并探讨其对投资者福利的正负影响，适合关注市场稳定机制和交易规则的学者。
ABSTRACT Market‐wide circuit breakers are trading halts aimed at stabilizing the market during dramatic price declines. Using an intertemporal equilibrium model, we show that a circuit breaker significantly alters market dynamics and affects investor welfare. As the market approaches the circuit breaker, price volatility rises drastically, accelerating the chance of triggering the circuit breaker—the so‐called “magnet effect,” returns exhibit increasing negative skewness, and trading activity spikes up. Our empirical analysis supports the model's predictions. Circuit breakers can affect overall welfare negatively or positively, depending on the relative significance of investors' trading motives for risk sharing versus irrational speculation.