复牌集合竞价模式与价格发现

The Form of Call Auction in Resumption and Price Discovery

本文运用深圳A股市场2006年的停复牌和交易数据,选取因同一原因(股东大会)停牌、但采取不同集合竞价模式(封闭式与开放式)复牌的股票交易记录进行了实证研究。研究结果表明,相对于封闭式集合竞价,开放式集合竞价模式提高了透明度,促进了新信息的传递,增加了投资者参与复牌集合竞价的积极性,进而使停牌期间的信息更充分地反映到复牌价格中去。此外,我们还发现,采用开放式集合竞价复牌的股票在进入连续竞价之后,其流动性要显著高于采取封闭式集合竞价复牌的股票,其价格波动则明显降低。这说明采用开放式集合竞价复牌可以更有效地提高停复牌的价格发现效率。

Using the transaction data and trading halts data from Shenzhen A stock exchange in 2006, this paper empirically investigates the stocks with same halt reason （general meeting of shareholders ） and different resumption forms （open or close call auction）. The results indicate that, compared with close call auction, open call auction in stock resumption improves transparency, accelerates revelation of new information, enhance enthusiasm of the traders participating in opening auction, and finally let the resumption price reflect the proclaim information more fully. Furthermore, during the subsequent period following resumption, the trading is more liquid and less volatile under open call auction mechanism than under close call auction mechanism. As a result, the use of open call auction can evidently improve the price discovery efficiency of trading halts.