基于A股例行停牌制度的无套利定价实证研究

An Empirical Study on Non-arbitrage Pricing Effect Based on A-share Routine Suspension Ordinance

以事件研究法验证A股例行停牌事件不包含实质性信息,从数据角度支持监管层进一步减少中国证券市场股票停牌数量及时间的改革思路。以A股例行停牌为自然实验,剔除后序实证模型中的内生性问题,以复牌股票的开盘价格收益率为关键变量验证无套利定价原则在A股市场存在的有效性。研究显示复牌股票开盘价格跳跃的幅度几乎恰好等于替代资产在其停牌日的涨跌幅,替代资产若选为市场总指数,其解释能力要低于选择同行业股票在其停牌日收益率的加权均值,且行业同质性越强,则复牌股票的开盘收益预测模型的解释力就越强。

In this paper, the case study method is used to verify that the A- share suspension events do not contain information which can affect the stock price transaction, and supperts the reform of the stock market to further reduce the number and time of stock suspension in China＇s securities market. Then the A- share suspension events were treated for natural experiment, exclu- ding the endogeneity in the empirical study of this article, and the validity of the non - arbitrage pricing in the A - share market was verified by the success rate of the resumption of stock trading. This paper shows that the rate of return of the opening price of the resumption stock is almost equal to that of the replacement asset at its suspension date. If the alternative asset is chosen as the market index, the explanatory capacity is lower than that of the case in which the stock in the same industry. The stronger the higher the extent of homogeneity of industry, the stronger the explanatory power of the stock return foreeast model.