股市涨停限制的价格扭曲效应研究

本文利用2020年创业板股票调整涨跌停限制这一外生制度变化,考察了涨停限制对股票价格扭曲的影响及其作用机制。研究发现:涨停限制的引入会导致股价向上扭曲,提高涨停概率,A股市场的涨停股票中约有28.6%是由涨停限制带来的。扭曲的价格在短期内会发生反转:当日涨停和接近涨停的股票在未来10个交易日内都表现出更低的超额收益率。进一步的研究表明,涨停限制的价格扭曲效应与涨停当日大资金投资者增加净买入行为有关,提高公司透明度或增加机构投资者占比,都有助于降低涨停限制的价格扭曲效应。上述研究表明,在金融供给侧结构性改革和注册制改革的大背景下,应进一步放松股市涨跌停限制,同时加强对大资金投资者的监控,并进一步提高公司透明度和机构投资者占比。

Using the exogenous institutional shock that stock price limit in the Shenzhen growth enterprise market changed from 10%to 20%,this paper studies the causal effect and mechanism of price limit to price distortion.This paper finds that the upper price limit distorts the stock price near the upper limit price and increases the probability of hitting the upper limit price.About 28.6%of stocks who hitting the upper limit price are brought by the upper price limit.The price distortion effect will reverse in the short term:stocks that hit the upper price limit or approach the upper price limit today exhibit lower excess returns in the next 10 trading days.Further research shows that the distorting effect of upper price limit is mainly channeled by the increase of net buying by large fund accounts,and higher corporate opacity and higher proportion of institutional investors would help to release the pricing distortions.The above research indicates that,against the backdrop of financial supply-side reforms and the stock market registration system reforms,there should be further relaxation of the price limit on the stock market.Simultaneously,there is a need to strengthen monitoring of large fund investors and enhance corporate opacity,while increasing the proportion of institutional investors.