放松股价管制能否提升市场定价效率?

Can Widening Daily Price Limit Increase Market Efficiency?

中国A股市场的涨跌停板交易制度一直是学界、业界和监管机构讨论的热点问题之一。主板、中小板和科创板、创业板股票分别实行10%、20%的涨跌幅限制,这为研究放松价格管制对市场定价效率的影响提供了难得的自然实验环境。本文从信息扩散速度视角研究了不同限价条件下投资者的投机行为和市场定价效率。研究发现:第一,放松价格管制抑制了投机者的投机炒作行为。相对于主板和中小板而言,科创板、创业板的涨(跌)停股票累计收益率更低(高),连续涨(跌)停次数更少,实际换手率更低;在随后的交易日中,波动溢出效应减弱,价格发现延迟和交易干扰的影响下降。第二,放松价格管制提高了市场定价效率。相对于放松管制前,科创板和创业板股票的价格时滞显著减少,信息反应速度提升。上述结论为理解放松股价管制的政策实施效果以及把握A股市场交易制度的进一步改革方向提供了参考。

The special trading mechanism of China's A-share market has long attracted attentions from academia,practitioner and supervisor.The daily price limit with 10%,which aims to dampen abnormal price fluctuations and mitigate price bubbles,has been strictly imposed since 1996.With the gradual reform of trading mechanisms,the price limit of Sci-Tech innovation Board and Growth Enterprise Board has been widened from 10%to 20%.Until now,few researchers have investigated whether price limit relaxation can enhance market pricing efficiency without exacerbating market stability.Based on the sample of China's A-share listed companies during 2020-2021,this paper studies investors'speculation and market pricing efficiency under different price limit from the perspective of information diffusion speed.The empirical results show that widened price limit restrains investors'speculation and increases market efficiency,resulting in lower cumulative return,less consecutive limit hits,and lower actual turnover.In the subsequent trading days,volatility spillover weakens,price discovery delay decreases,and the impact of trading interference diminishes.The market pricing efficiency improves significantly.In addition,the price delay of the stocks has been significantly reduced in the Sci-Tech Innovation Board and Growth Enterprise Board,resulting in the improvement in the market pricing efficiency.This article provides a new understanding of the outcome of widened price limits and sheds light on the direction of further reform of market trading mechanisms.This study highlights that price limit relaxation can improve market performance by speeding up price discovery and market pricing efficiency.Policymakers could refer to the evidence to evaluate the effectiveness of the gradually advanced market-oriented reforms on trading mechanisms.The paper suggests that regulators could try to unify the price limit of the entire market to 20%at the appropriate timing,which could further improve market efficiency and satisfyliquidity requirements.