停牌时间长度与股票市场有效性——基于“伪停牌匹配方法”的验证  

Long-term Trading Suspension and Bad Stock Market Performance:Based on the Pseudo-halt Matching Methodology

作　　者：石阳[1] 刘瑞明[2] 袁钰莹 SHI Yang;LIU Ruiming;YUAN Yuying(School of Economics&Management,Northwest University,Xi’an,710127,China;National Academy of Development and Strategy,Renmin University of China,Beijing,100872,China;School of Economics,Renmin University of China,Beijing,100872,China)

机构地区：[1]西北大学经济管理学院,陕西西安710127 [2]中国人民大学国家发展与战略研究院,北京100872 [3]中国人民大学经济学院,北京100872

出　　处：《当代经济科学》2022年第3期70-82,共13页Modern Economic Science

基　　金：国家社会科学基金重大项目“中国特色政策试点机制”(20&ZD118);国家自然科学基金面上项目“中国经济转型中的改革拖延症及其治理机制研究:基于行为公共经济学的视角”(71873134);国家自然科学基金青年科学基金项目“上市公司随意停牌的经济后果及其作用机制研究”(71903152)。

摘　　要：停牌制度的本意是通过中断交易来缓解市场情绪、消化新的信息,最终促进市场的有效运行。然而,在制度移植的过程中,中国资本市场上的股票停牌时间过长问题却诱发了“橘南枳北”的不良反应。基于伪停牌匹配方法,利用2010—2017年中国日间停牌样本,实证检验了停牌时间长度如何影响停牌制度的有效性。研究发现:在控制了引发停牌的事件信息、股市整体状态和个股特征后,停牌时间越长,越会造成股价波动性和股票换手率的提高,同时会引发股票交易流动性的恶化。变更伪停牌时间的匹配原则、改变检验的窗口期、区分不同时段以及改变异常观测值的计算方式后,结果依然稳健。中国现行的股票停牌时间过长,不但阻碍了投资者对于股票正常交易的需求,而且不利于促进信息的有效传递以及投资者情绪的缓解,给股票市场运行的有效性带来了负面影响。在中国特色社会主义新时代,为了保障股票市场的健康发展,应对股票停牌时间在制度层面上予以规范。The purpose of setting up the trading suspension system is that if the stock trading faces a big shock,the stock exchange gives investors a buffer time to digest information by interrupting the stock trading temporarily,thereby improving the effectiveness of the stock market.However,in Chinese practice,the chaos has unpredictably happened that listed companies interrupt stock trading for a long time.The long-term trading suspension not only damages the stock trading rights of investors,but also hinders the internationalization of the Chinese capital market,against the original intention of establishing the trading suspension institution.Different from the existing literature,this paper inspects the specific implementation process of the trading suspension institution.Specifically,it analyzes the impact of the long-term trading suspension on the effectiveness of the stock market from three aspects:stock price volatility,turnover rate,and liquidity.Our research points out the key factor causing the failure of the trading suspension institution.The research sample is trading suspension events of Chinese listed companies with a suspension duration of more than one trading day(inter-day suspension)from 2011 to 2017.We collected the financial and stock trading information of listed companies by using the CSMAR database.Referring to Lee et al.(1994),we adopted the pseudo-halt matching methodology.First,we searched the sample that returns of the stock during the other normal trading are equal to those of the same stock before and after the trading suspension,and regarded the sample as a pseudo suspension group matching the trading suspension group.Second,we computed the difference in stock price volatility,turnover rate,and liquidity between the trading suspension group and the pseudo suspension group,so as to analyze the impact of trading suspension.It is found that a longer duration of trading suspension indicates a greater stock price volatility,a higher turnover rate,and a poorer liquidity after the resumption of tra

关 键 词：股票停牌 停牌时长 伪停牌匹配方法 股价波动性 换手率 交易流动性 市场断路器 

分 类 号：F832.51[经济管理—金融学]