交易限制与股票市场定价效率——基于创业板涨跌幅限制放宽的准自然实验研究  

Trading Restrictions and Stock Market Price Efficiency:AQuasi-Natural Experiment Based on the Registration System of the ChiNext Board

作　　者：顾明 曾力 陈海强 倪博 GU Ming;ZENG Li;CHEN Haiqiang;NI Bo(School of Economics and WISE,Xiamen University)

机构地区：[1]厦门大学经济学院/王亚南经济研究院,福建厦门361005

出　　处：《金融研究》2022年第11期189-206,共18页Journal of Financial Research

基　　金：国家自然科学基金项目(72273115);教育部人文社会科学研究项目(21YJC790038)的资助;国家自然科学基金项目(72233002,72173104)的资助;“计量经济学”教育部重点实验室(厦门大学)的支持。

摘　　要：本文基于2020年8月24日创业板涨跌幅限制由10%扩大到20%这一政策变化建立准自然实验,从市场层面与公司事件层面探讨交易限制放宽的外生冲击下市场定价效率的变化。研究发现,涨跌幅限制放宽政策实施后,股票价格能更灵敏地反映公开市场信息,更多地包含公司层面特质信息,整体市场定价效率显著提升。进一步研究表明,涨跌幅限制放宽有效缓解了交易干扰问题,避免了过度交易行为延后,缓解了波动性外溢与价格发现延迟。异质性分析表明,无论是市场层面定价效率改善,还是事件层面波动性外溢、价格发现推迟与交易干扰问题的缓解,均在低信息透明度公司中更为显著。本文研究发现为验证涨跌幅限制会抑制股票市场定价效率的理论提供了直接经验证据,同时为推广完善市场化交易制度提供了有益启示。The daily price limit rule with a range of 10%,which aims to dampen abnormal price fluctuations and mitigate price bubbles,has been strictly imposed in Chinese stock markets since 1996.The launch of the Sci-Tech Innovation Board on the Shanghai Stock Exchange on July 22,2019,increased the price limit range from 10%to 20%.Following the gradually advanced market-oriented reform of trading mechanisms,such price limit relaxation was introduced to the ChiNext board on the Shenzhen Stock Exchange on August 24,2020.Until now,few researchers have investigated whether price limit relaxation can enhance market efficiency without exacerbating market stability.Academic researchers document both benefits and costs to imposing a price limit.Supporters argue that a price limit helps to reduce overreaction by panicked investors,moderate price volatility,and increase market efficiency(e.g.,Greenwald and Stein,1991;Kim et al.,2013).Opponents,however,criticize that a price limit may result in trading interference,which delays the instant price discovery process and squeezes liquidity(e.g.,De Long et al.,1990;Kim and Rhee,1997;Chen et al.,2017).The above studies are either based on the change in the price limit policy in the 1990s or compare Chinese stock markets to other markets without price limit constraints,which signifies a lack of time effectiveness as Chinese stock markets have become more mature after 20 years of development.This paper uses the relaxation of the price limit on the ChiNext board as an exogenous shock and investigates the effect of price limit relaxation on market efficiency.Because the policy is imposed on all stocks traded on the ChiNext board without considering the pre-policy conditions of firm characteristics or market status,the shock to the price limit is purely exogenous,so that our setting is immune to most endogeneity issues in the literature.Specifically,we divide the full sample period into the pre-policy regime period,consisting of the 62 trading days before the policy effective date,and the post-

关 键 词：交易限制 定价效率 涨跌停板 创业板 注册制 

分 类 号：F832.51[经济管理—金融学]