证交所问询监管有效性研究——基于问询函的实证检验

The Effectiveness of Inquiry Regulation in Stock Exchanges——An Empirical Study Based on Inquiry Letters

事前形式审查与事后实质监管逐渐成为我国证券市场监管的主要方式,由此引申出的问询机制正逐步成为证券交易所监管上市公司的重要工具。本文采用2015—2019年沪深两市主板的问询数据,通过事件研究法对不同类别问询函件引起的股价波动进行了检验,旨在拓展对问询机制有效性及合理性的论证视角,为证交所问询监管提出政策建议。研究结果表明:(1)不同类别问询引起的股价变动存在异质效应,市场对定期报告类问询和其他关注类问询产生负的超额收益,对重组类问询则超额收益显著为正,反映市场对前两类问询反应审慎。(2)证交所的问询能够通过在中短期改善上市公司披露信息的质量、提高上市公司重组质量、对上市公司违规行为作出违规预警三种路径,实现其监管功能。(3)对深交所问询回函情况的研究表明,当前问询机制有利于实现信息及时披露和短期市场稳定的较好平衡,问询机制的设置合理。

The pre formal review and post substantive supervision have gradually become the main supervision methods in China's securities market.The inquiry mechanism has gradually become an important tool for the stock exchange to supervise listed companies.This paper uses the inquiry data of the main board of Shanghai and Shenzhen stock exchanges from 2015 to 2019 to test the stock price volatility caused by different types of inquiry letters through the event research method,aiming to expand the argument perspective of the effectiveness and rationality of the inquiry mechanism,and puts forward policy suggestions for the inquiry supervision of the stock exchange.The results show that:(1)There is a heterogeneous effect on stock price changes caused by different types of inquiries.The market has negative excess returns relative to periodic report inquiries and other focused inquiries,while the abnormal returns on restructuring inquiries are significantly positive,which reflects the market's prudent response to the first two types of inquiries.(2)The inquiry of the stock exchange can achieve its regulatory function through improving information disclosure of listed companies in the medium and short term,improving the quality of reorganization of listed companies,and warning of violations of listed companies.(3)The research on the inquiry response of Shenzhen Stock Exchange shows that the current inquiry mechanism is conducive to achieve a good balance between timely information disclosure and short-term market stability,and the setting of inquiry mechanism is reasonable.