中国A股市场新版停牌制度实施效果的实证研究
发布时间：2018-08-11 10:09
【摘要】：近年来,随着我国经济迅速发展,我国的资本市场建设也取得了举世瞩目的成就,虽然从上市公司数目、融资额和投资者数量上来看,我国资本市场已经颇具规模,但是作为一个新兴市场,我国资本市场存在信息不对称程度高等问题。停牌作为稳定股价的重要工具,其主要目的是减少信息的不对称程度,提高证券市场的透明度,使投资者在重要信息到达前有足够的时间评估并以此调整自己的投资策略,从而提高复牌后价格发现效率,进而提高市场的透明度和维护市场的有序运行。基于此,本文主要研究了各类型停牌是否达到了监管层的目的? 本文首先直观地比较了境内外停牌制度的差异。与境外成熟市场相比,沪深交易所主要有以下特征：停牌种类繁多、次数频繁、停牌持续的时间较长、无同步停牌和强制复牌措施、无断路器及特有的“新股上市盘中临时停牌”等。 其次,本文使用沪深A股市场2008年10月1日-2011年11月1日的停复牌和交易数据,我们通过事件研究法研究了例行停牌、异常波动停牌和重大事项停牌事件窗内的平均异常收益率AAR,接着我们构造与停牌日"Halt Days"样本相对应的非停牌日"Non-Halts Days"样本,通过虚拟变量多元回归分析了不同类型停牌停牌前后的异常交易行为,本文以信息释放和价格发现效率为标准评价新版停牌制度的有效性与否。研究发现： 1)由于例行停牌属于可预期停牌,投资者往往根据自己心里预期提前调整投资策略且其调整的方向是正确的,同时其本身的信息含量较低,且大多需要停牌4个小时,严重阻碍了交易的连续性； 2)虽然进一步放大了复牌日的股票成交量、加剧了复牌日股票价格的波动,但能有效地降低股票的平均异常收益率,同时坏消息异常波动停牌复牌后价格调整速度相对较慢,总体上来说,异常波动停牌基本上达到了警示性目的； 3)重大事项停牌,停牌前信息发生严重的泄露或存在严重的“内幕交易”行为,因此,停牌只能起到事后警示的作用,由于停牌推迟了投资者的交易需求、阻碍了交易的连续性,复牌进一步放大了股票的成交量和加剧了股票的波。动,复牌并没有消除信息的不确定,同时复牌后坏消息的价格发现效率较低,我们认为,重大事项停牌的实施效果并不是很理想。
[Abstract]:In recent years, with the rapid development of China's economy, China's capital market construction has also made remarkable achievements, although from the number of listed companies, the amount of financing and the number of investors, China's capital market has taken on a rather large scale. However, as an emerging market, China's capital market has a high degree of information asymmetry and other problems. As an important tool to stabilize stock price, the main purpose of suspension is to reduce the asymmetry of information, improve the transparency of the securities market, and give investors enough time to evaluate and adjust their investment strategy before the important information arrives. In order to improve the efficiency of price discovery after the resumption of trading, and then improve the transparency of the market and maintain the orderly operation of the market. Based on this, this paper mainly studies whether the various types of suspension achieve the purpose of regulatory layer? At first, this paper compares the difference of the suspension system between inside and outside the country intuitively. Compared with the mature overseas markets, the Shanghai and Shenzhen exchanges have the following characteristics: there are many kinds of suspensions, the times are frequent, the suspension lasts for a long time, and there is no simultaneous suspension or compulsory resumption of trading. No circuit breaker and unique "new stock market temporary suspension" and so on. Secondly, using the data of suspended trading and trading in Shanghai and Shenzhen A share market from October 1, 2008 to November 1, 2011, we have studied the routine suspension through event research. The average abnormal rate of return in the event window of abnormal volatility suspension and major event suspension is obtained. Then we construct the "Non-Halts Days" sample corresponding to the "Halt Days" sample of the suspension date. The abnormal trading behavior before and after different types of suspension is analyzed by multiple regression analysis of virtual variables. This paper evaluates the validity of the new suspension system by the criteria of information release and price discovery efficiency. The results show that: 1) due to the expected suspension of trading, investors tend to adjust their investment strategy in advance according to their own expectations, and the direction of adjustment is correct, and their own information content is relatively low. Most of them were suspended for four hours, which seriously hindered the continuity of trading; 2) although the volume of stock trading on the day of resumption was further enlarged, the volatility of stock prices on the day of resumption was aggravated. But it can effectively reduce the average abnormal return rate of stock, and at the same time, the price adjustment speed is relatively slow after the abnormal fluctuation of bad news suspends trading to resume trading, on the whole, the abnormal fluctuation suspension basically achieves the warning purpose; 3) serious leakage of information or serious "insider trading" behavior occurred before the suspension of trading, so the suspension can only serve as a warning after the event, because the suspension of trading delayed the trading demand of investors. This hinders the continuity of trading and further amplifies trading volume and exacerbates the stock market. At the same time, the price discovery efficiency of bad news after the resumption of trading is low, we believe that the implementation effect of major items suspension is not very ideal.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
本文编号：2176683
[Abstract]:In recent years, with the rapid development of China's economy, China's capital market construction has also made remarkable achievements, although from the number of listed companies, the amount of financing and the number of investors, China's capital market has taken on a rather large scale. However, as an emerging market, China's capital market has a high degree of information asymmetry and other problems. As an important tool to stabilize stock price, the main purpose of suspension is to reduce the asymmetry of information, improve the transparency of the securities market, and give investors enough time to evaluate and adjust their investment strategy before the important information arrives. In order to improve the efficiency of price discovery after the resumption of trading, and then improve the transparency of the market and maintain the orderly operation of the market. Based on this, this paper mainly studies whether the various types of suspension achieve the purpose of regulatory layer? At first, this paper compares the difference of the suspension system between inside and outside the country intuitively. Compared with the mature overseas markets, the Shanghai and Shenzhen exchanges have the following characteristics: there are many kinds of suspensions, the times are frequent, the suspension lasts for a long time, and there is no simultaneous suspension or compulsory resumption of trading. No circuit breaker and unique "new stock market temporary suspension" and so on. Secondly, using the data of suspended trading and trading in Shanghai and Shenzhen A share market from October 1, 2008 to November 1, 2011, we have studied the routine suspension through event research. The average abnormal rate of return in the event window of abnormal volatility suspension and major event suspension is obtained. Then we construct the "Non-Halts Days" sample corresponding to the "Halt Days" sample of the suspension date. The abnormal trading behavior before and after different types of suspension is analyzed by multiple regression analysis of virtual variables. This paper evaluates the validity of the new suspension system by the criteria of information release and price discovery efficiency. The results show that: 1) due to the expected suspension of trading, investors tend to adjust their investment strategy in advance according to their own expectations, and the direction of adjustment is correct, and their own information content is relatively low. Most of them were suspended for four hours, which seriously hindered the continuity of trading; 2) although the volume of stock trading on the day of resumption was further enlarged, the volatility of stock prices on the day of resumption was aggravated. But it can effectively reduce the average abnormal return rate of stock, and at the same time, the price adjustment speed is relatively slow after the abnormal fluctuation of bad news suspends trading to resume trading, on the whole, the abnormal fluctuation suspension basically achieves the warning purpose; 3) serious leakage of information or serious "insider trading" behavior occurred before the suspension of trading, so the suspension can only serve as a warning after the event, because the suspension of trading delayed the trading demand of investors. This hinders the continuity of trading and further amplifies trading volume and exacerbates the stock market. At the same time, the price discovery efficiency of bad news after the resumption of trading is low, we believe that the implementation effect of major items suspension is not very ideal.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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