上市公司随意停牌与投资者利益——来自中国资本市场的证据

Voluntary Trading Halts and Interests of Investors: Evidence from the Chinese Capital Market

停牌制度的设计初衷是为了保护投资者利益,但近年来在中国股市却频繁发生上市公司的"随意停牌"现象。这些上市公司的随意停牌不但为国内投资者所诟病,而且引发了国际投资者与国际资本市场的负面回应。本文根据沪深交易所2016年5月出台的规范性文件,首次对上市公司的多种随意停牌行为进行了详细界定,并利用2014年6月至2016年5月的国内重大事项停牌数据,实证检验了随意停牌对于投资者利益的影响。研究发现:(1)相较于正常停牌,随意停牌平均造成了约4%的累计异常损失;(2)发生随意停牌的上市公司,更容易在停牌过程中出现内部人的私利行为;(3)随意停牌通过增加内部人的私利行为,引发了累计异常损失。这意味着上市公司的部分停牌行为并没有实现投资者保护的初衷,反而通过有助于公司内部人的私利行为损害了投资者利益。本研究为完善停牌制度和资本市场提供了重要的政策启示。

The trading halt system was originally designed to protect the interests of investors,but it can be highly controversial when exercised in practice.The trading halt system was established in China in 1998 and has been in place for about 20 years.However,in recent years,voluntary trading halts of listed companies have occurred frequently in the Chinese market,attracting close attention from Chinese regulatory institutions and international investors.The new phenomenon of voluntary trading halts differs from that in developed markets in that listed companies apply for trading halts arbitrarily,have overlong halting periods,do not follow relevant standard procedures,and fail to disclose information adequately.Within the range of literature reviewed,studies have not provided a systematic classification or conducted an empirical test of this phenomenon.Therefore,do voluntary trading halts in the Chinese market indeed harm the interests of investors?If so,how serious is the harm,and what is the mechanism behind such behavior?We answer these questions in three ways.First,we analyze the present situation of trading halts in China and theoretically analyze how voluntary trading halts may undermine the interests of investors by facilitating the private benefit behavior of insiders.Second,we define voluntary trading halts in detail from the perspectives of overlong halting periods and inadequate information disclosure in accordance with the regulations enacted by the Shanghai and Shenzhen Stock Exchanges of China in May 2016.Third,we use the event study method to test the impacts of voluntary trading halts on the interests of investors based on data for companies listed in China from June 2014 to May 2016.The empirical results show that voluntary trading halts cause significantly negative excess returns to investors regardless of whether the total sample or a propensity score matched sample is used.During the voluntary halting period,the private benefit behavior of insiders in the company is more likely to emerge.If the private benefit behavior occurs during the halting period,the negative abnormal returns caused by voluntary trading halts are greater.Furthermore,we find that the institutional investors are more likely to sell their shares after the voluntary trading halts.These results mean that the voluntary trading halts in the Chinese market do not achieve the original intention of protecting the interests of investors,but end up causing them harm by facilitating the private benefit behavior for some insiders.Therefore,to promote the effectiveness of the trading halt system,relevant Chinese authorities must strengthen new regulations that emphasize the requirements on trading halt periods and information disclosure,It is also necessary to pay attention to the design of the global market,which may help to regulate both the halting and private benefit behavior.We make three main contributions to the literature.First,based on the experience from the Chinese market,this paper provides empirical evidence of the damage of voluntary halts on investors and provides a new explanation for how trading halts can undermine the interests of investors by facilitating the private benefit behavior of insiders.The current theoretical explanations for trading halts on investors interests mainly come from the cooling-off hypothesis and learn-by-trading model,which ignore imperfections in the institutional environment.Therefore,the findings of this paper extend the knowledge of the literature on trading halts.Second,studies of trading halts in the Chinese market have mainly focused on the types of halts in the early stages,such as routine halts and halts for abnormal fluctuations,and few studies have considered the problem of voluntary trading halts,which have concerned international investors in recent years.To the best of our knowledge,this paper is the first to provide a systematic classification and an empirical test of voluntary trading halts.Third,although the question of whether trading halts can protect the interests of investors is widely recognized as controversial,relevant evidence has mainly been concentrated in developed capital markets.This paper provides new evidence on trading halts in China from an emerging market perspective.