中小板交易异动停牌制度有效性研究  

Research on the efficiency of trading halt due to abnormal fluctuated stocks in China SME board

作　　者：陈舒宁[1] 张维[1] 何枫[1] 熊熊[1] 金曦[2] Chen Shuning Zhang Wei He Feng Xiong Xiong Jin Xi(College of Management and Economics, Tianjin University, Tianjin 300072, China College of Economics, Tianjin University of Finance and Economics, Tianjin 300222, China)

机构地区：[1]天津大学管理与经济学部,天津300072 [2]天津财经大学经济学院,天津300222

出　　处：《系统工程学报》2016年第6期831-839,共9页Journal of Systems Engineering

基　　金：国家自然科学基金重点资助项目(71131007);国家自然科学基金资助项目(71201112);教育部长江学者和创新团队发展计划资助项目(IRT1028);教育部博士点基金资助项目(20110032110031)

摘　　要：研究了深市取消交易异动停牌制度对中小板出现异常波动股票的影响.通过事件研究法对比深市取消交易异动停牌制度前后的交易异动股票数据,从中小板累计异常收益率,波动性和流动性等市场微观结构的指标检验了交易异动停牌制度的有效性.发现停牌制度取消前后,异常波动股票的波动性和流动性长期来看无显著差别,而在短期内对市场波动的抑制反应较为迅速;停牌制度取消前,样本股票在公告及复牌后累计平均异常收益率出现负值,而取消后的样本在公告日后股票收益率回归市场水平.中小板异常波动停牌制度在抑制市场波动方面短期较迅速,在价格发现方面一定程度上起到了负面作用,引起涨幅超限的股票过度反应和跌幅超限的股票的短期助跌效果.This research focuses on the effect of trading halt due to abnormal fluctuated stocks in China＇s SME board. By comparing the data samples before the cancellation of trading halt due to abnormal fluctuation with that afterwards, micro-structure indicators of SME board such as CAAR, volatility, and liquidity of the sample are analyzed to study on the efficiency of this trading halt mechanism. The sample shows no significant difference in either the corresponding stock liquidity or the price volatility before and after the mechanism was abolished. However, the CAAR of stock excess volatility with the trading halt presented an overreaction which was not observed without the trading halt, which showed that the yield should have returned to the market rate. This indicates that this kind of trading halt can restrain abnormal fluctuation more rapidly, but may play a negative role in price discovery.

关 键 词：异动停牌 市场微观结构 价格发现 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]