When Walls Becomes Targets: Strategic Speculation and Price Dynamics under Price Limit
主讲人：
黎新平（北京大学经济学院研究员）
主持老师：
（北大经院）王一鸣、王熙
参与老师：
（北大经院）刘蕴霆、王法、巩爱博
2025年9月26日（周五）
10:00-11:30
地点（线下）：
北京大学经济学院107会议室
主讲人简介：
黎新平，北京大学经济学院研究员、北京大学金融工程实验室执行主任，斯坦福大学经济学博士，主要研究方向为量化投资、资产定价、机器学习及人工智能技术在金融中的应用。曾在国际货币基金组织从事新兴市场贷款计划定价的研究，并在美国纽约大型对冲基金任资深策略师和投资经理，国内公募基金任量化投委会主席、量化投资总监及基金经理。
报告摘要：
This study shows how price limit rules, intended to stabilize markets, inadvertently distort price dynamics by fostering strategic speculation. Through a dynamic rational expectations model, we demonstrate that price limits induce inherent post limit-up price-jumps by impeding full information incorporation, motivating speculators to artificially push prices to upper bound and exploit uninformed traders. The model predicts two distinct patterns: (1) stocks closing at upper price limits exhibit positive overnight returns followed by long-term reversals, and (2) stocks retreating from upper bound before market close incur significant loss for speculators and demonstrate a "reversal-recovery-underperformance" pattern. Empirical analysis confirms these predictions. China’s 2020 GEM reform, which widened the price limit from 10% to 20%, provides further causal evidence that relaxed limits mitigate speculative distortions.