异常波动停牌对股价波动性和流动性的影响研究——来自我国取消异常波动停牌的自然实验

The Effect of Abnormal Volatility Trading Halt on Price Volatility and Liquidity: A Natural Experiment from the Cancellation of Abnormal Volatility Trading Halt

如何准确检验我国停牌制度的实施效果并据此对现有停牌制度进行改革是目前亟待解决的问题。本文以2012年沪深交易所取消异常波动停牌的交易规则变更作为自然实验,克服了以往研究中难以控制"停牌日"样本与"非停牌日"样本之间的信息因素差异的障碍,从而更为准确地检验了停牌制度的有效性,同时也首次考察了我国取消异常波动停牌的实施效果。我们发现异常波动停牌增加了被停牌股票复牌后的交易量和波动性,同时降低了股票流动性。这表明我国之前实施的异常波动停牌制度不但没有起到降低股价波动和交易成本的预期目的,反而阻碍了信息传递,加剧了股价波动,降低了市场效率。

How to accurately test the effect of trading halts and reform our existing trading suspension system accordingly has become an urgent issue. Using the cancellation of the abnormal volatility trading halts in Shanghai and Shenzhen stock exchanges in 2012 as a natural experiment, we overcome the difficulty to control the impact of the difference in the information shock and more accurately test the effect of trading halts. Moreover, for the first time we test the implementation effect of the cancellation of the abnormal volatility trading halt. We find that abnormal volatility trading halt increases post - halt volume and volatility and decreases liquidity. These results imply that abnormal volatility trading halt impairs rather than improves market efficiency.