A股市场新版停牌制度实施效果的实证研究

An Empirical Analysis of the Effectiveness of the New Trading Halts System on Chinese A-Share Stock Market

论文使用沪深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,通过事件研究法分析了不同类型停牌的异常收益率,以信息释放和价格发现效率为标准评价新版停牌制度。研究表明:例行停牌信息含量偏少且阻碍了交易的连续性;异常波动停牌有效地降低了股票的平均异常收益率,但坏消息复牌后价格调整速度相对较慢;重大事项停牌存在严重的"消息泄露",仅能起到事后警示的作用,同时坏消息复牌后的价格发现效率较低,重大事项停牌并不理想。

Using the trading halts and transaction data of A-shares listed in the Shenzhen and Shanghai Stock Exchange from October 1 2008 to November 1 2011, through the event study we analyzed average abnormal returns of each type of the trading halts in event windows, this paper based on the information release and price discovery efficiency as a standard to evaluate the effectiveness of the new version of halts, study found that： information content of the routine trading halts is very low and the trading continuity is seriously hindered; the abnormal fluctuations halts can effectively reduce the average abnormal returns of the stocks, but adjustment speed of price of the bad news halts is relatively slow;the major issues halts has a serious information leak before the halts, so the halts can only play the role after the information leak, meanwhile,the efficiency of price discovery of the bad news halts is very slow, we think, the implementation effect of the major issues halts is very limited.