Analysis on the Volatility Spillover Effect of Price Limit System in the Sci-Tech Innovation Board

The price limit system was first set up to prevent the stock price from soaring and affecting the market operation. It sets the upper and lower limits of the daily fluctuation range of the stock price. When the stock price reaches the upper and lower limit, it is not allowed to rise or fall again. The price limit is designed to stabilize the market, but there are also objections in the market. The opponents believe that the price limit can not reduce the price fluctuation, but increase the market fluctuation on the subsequent trading day, hinder the formation of the equilibrium price and affect the normal function of the market mechanism. One of these reasons is the spillover effect. In this passage, the author chooses Sci-Tech Innovation Board as the research target because the establishment of the science and technology innovation board is of great strategic significance to the development of science and technology in China. In order to study the impact of the spillover effect, this paper explores the market effect by combining the existing theoretical content and using the stock trading data of the scientific and technological innovation board for empirical analysis.