基于A股例行停牌制度的无套利定价实证研究  

An Empirical Study on Non-arbitrage Pricing Effect Based on A-share Routine Suspension Ordinance

作　　者：陶刚[1] 

机构地区：[1]贵州师范大学经济与管理学院,贵州贵阳550001

出　　处：《贵州师范大学学报（社会科学版）》2017年第4期76-85,共10页Journal of Guizhou Normal University(Social Sciences)

基　　金：贵州师范大学资助博士科研项目"基于分形有效市场假说与行为金融理论的商品期货定价研究";2017年度贵州省教育厅高等学校人文社会科学研究硕士点项目"贵州农村基础设施融资模式创新研究"(2017ssd16)的阶段性成果

摘　　要：以事件研究法验证A股例行停牌事件不包含实质性信息,从数据角度支持监管层进一步减少中国证券市场股票停牌数量及时间的改革思路。以A股例行停牌为自然实验,剔除后序实证模型中的内生性问题,以复牌股票的开盘价格收益率为关键变量验证无套利定价原则在A股市场存在的有效性。研究显示复牌股票开盘价格跳跃的幅度几乎恰好等于替代资产在其停牌日的涨跌幅,替代资产若选为市场总指数,其解释能力要低于选择同行业股票在其停牌日收益率的加权均值,且行业同质性越强,则复牌股票的开盘收益预测模型的解释力就越强。In this paper, the case study method is used to verify that the A- share suspension events do not contain information which can affect the stock price transaction, and supperts the reform of the stock market to further reduce the number and time of stock suspension in China＇s securities market. Then the A- share suspension events were treated for natural experiment, exclu- ding the endogeneity in the empirical study of this article, and the validity of the non - arbitrage pricing in the A - share market was verified by the success rate of the resumption of stock trading. This paper shows that the rate of return of the opening price of the resumption stock is almost equal to that of the replacement asset at its suspension date. If the alternative asset is chosen as the market index, the explanatory capacity is lower than that of the case in which the stock in the same industry. The stronger the higher the extent of homogeneity of industry, the stronger the explanatory power of the stock return foreeast model.

关 键 词：A股 例行停牌 股价跳跃 无套利定价 

分 类 号：F830.91[经济管理—金融学]