异常上涨停牌核查政策的实证与经济解释  

Empirical Study and Economic Explanation of Suspension Verification of Abnormal Increase Policy

作　　者：陈思燃 冯用富[1] 尹玉刚 刘亚辉 Chen Siran;Feng Yongfu;Yin Yugang;Liu Yahui

机构地区：[1]西南财经大学金融学院

出　　处：《财经科学》2023年第3期30-44,共15页Finance & Economics

基　　金：国家自然科学基金青年项目“上市公司产品竞争与股票市场定价:机制与实证研究”(71903154)的资助。

摘　　要：监管者、市场参与者与研究者的共识是,中国股票市场仍然是一个“新兴”+“转轨”的市场,股市的监管政策既有与发达市场相一致的共同性,同时也具有自身的特点。监管政策是否能够达到政策制定者希望的初衷?是否与研究者在假设前提下通过逻辑演绎所得出的结论相一致?实证研究的结论就具有重大的理论与现实意义。本文首先从异常上涨停牌核查这一直接干预股市交易的特殊监管政策出发,将异常上涨停牌核查股票组合作为实验组,通过倾向匹配得分法寻找到对照组,再使用双重差分法进行实证研究。其次,采用基于投资者行为理论的“震慑作用”和“广告效应”对实证结果进行了经济学的解释。最后给出了异常上涨停牌核查监管政策的进一步完善、改进措施的建议。The consensus of supervisors,market participants and researchers is that China Stock Market is still an emerging and transitional market.Compare to developed market,supervisory policy in China has some common attributes,but also own feature.In order to find whether supervisory policy achieves the goal,and whether its influence the same as researchers’logical deduction under several hypothesis,empirical study plays an important role in theory and reality.This paper investigates suspension verification of abnormal increase,which is a unique supervisory policy that directly intervene stock trading.Suspension verification of abnormal increase stock is defined as experimental group,and control group is constructed following PSM method.We first use Difference in Difference model to do empirical study.The we use"deterrence"and"advertising"effects which based on investor behavior theory to explain empirical result.Finally,we make policy suggestion to improve suspension verification of abnormal increase policy.

关 键 词：停牌核查 监管政策 投资者情绪 高频交易 

分 类 号：F832.5[经济管理—金融学]