A Microstructure Study of Circuit Breakers in the Chinese Stock Markets
Bibliographic record
Abstract
Based on rare policy changes in the Chinese stock market in January 2016, we study the impacts of market-wide circuit breakers on market microstructure.To test if market-wide circuit breakers have the "cooling effect" and the magnet effect, we use high frequency transactions and limit order book data and Lasso IV models for endogenous market microstructure variables and exogenous policy variables based on a novel identification strategy.We find that market-wide circuit breakers have no "cooling effect" in decelerating falling prices (or returns) or reducing market volatility and order imbalance.Their presence does not affect bid-ask spreads but does reduces the large-, mid-, and small-sized trades in volume and trades.We also find that marketwide circuit breakers indeed induce significant magnet effects on stock returns, order imbalance, quote imbalance, and trades of various sizes.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.045 | 0.025 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.002 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.006 | 0.003 |
| Research integrity | 0.001 | 0.004 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; both teacher heads agree on what is shown here.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".