创业板涨跌幅制度改革与股价信息含量

Daily Price Limit Reform in ChiNext and Stock Price Informativeness

创业板注册制改革对存量股的影响主要在于放宽了存量股的涨跌幅限制。文章基于创业板注册制改革中放宽涨跌幅限制的场景,考察涨跌幅限制放宽能否提升存量股股价信息含量,通过构建双重差分模型研究发现,创业板涨跌幅限制放宽使得存量公司股价同步性显著降低,表明涨跌幅限制放宽有助于提升股价信息含量。进一步研究发现,涨跌幅限制放宽提升股价信息含量的潜在途径在于活跃市场交易和抑制股价操纵行为;当涨跌幅制度改革前公司所处信息环境较差、股票标的存在卖空约束时,涨跌幅限制放宽对股价信息含量的提升效应更为显著。研究丰富了股票市场定价效率的相关文献,为现阶段全面推进注册制改革提供了政策启示。

The impact of the registration-based IPO reform on listed firms in the ChiNext stock market mainly lies in the relaxation of their daily stock price limits.We in-vestigate the influence of daily price limits on stock price informativeness by utilizing the daily price limit reform in ChiNext as an exogenous shock.Employing the DID model,we find that listed firms with relaxed daily price limits in ChiNext experience a signific-ant increase in stock price informativeness,evidenced by a notable decrease in stock price synchronicity.Additionally,we identify that enhanced price informativeness is facilitated by increased stock liquidity and reduced stock price manipulation.Moreover,the in-crease in price informativeness is more pronounced for firms operating in opaque inform-ation environments and facing short-selling constraints prior to the reform.Our study en-riches to the literature on stock price efficiency and provides policy implications for the registration-based IPO reform in the stock market.