涨跌停制度变革、股票流动性与资本市场表现  

Price Limit Reform,Stock Liquidity and Capital Market Performance

作　　者：赵家悦 卢锐[2] 柳建华[3] Jerry Cao ZHAO Jiayue;LU Rui;LIU Jianhua;Jerry CAO(Business School,Sun Yat-sen University;School of Business,Sun Yat-sen University;Lingnan College,Sun Yat-sen University;School of Business,Hang Seng University of Hong Kong)

机构地区：[1]中山大学商学院,广东深圳518107 [2]中山大学管理学院/现代会计与账务研究中心,广东广州510275 [3]中山大学岭南学院,广东广州510275 [4]香港恒生大学商学院,中国香港999077

出　　处：《金融研究》2024年第3期113-131,共19页Journal of Financial Research

基　　金：国家资助博士后研究人员计划(GZC20233210);国家自然科学基金(71872192,72372167);广东省自然科学基金(2022A1515011799,2023A1515012721);广东省哲学社会科学规划重点项目(GD23SJZ07)的资助。

摘　　要：完善的资本市场基础制度,是建设高质量资本市场的根本保障。本文以创业板放宽涨跌幅限制至20%作为准自然实验,细致研究涨跌停制度变革的政策效应。首先,我们意外地发现,放宽涨跌幅限制后,触及10%涨跌幅的样本比例反而明显减少,且股价受到冲击后的表现也更加平稳。然后,我们考察股票流动性这一底层核心要素发现,实施涨跌停制度变革后,股票流动性显著提升:具体而言,每亿元成交量所引发的股价冲击幅度下降了大约0.73个百分点,相当于在同等规模的市场成交下,股票价格所受到的冲击减小了近五分之一。机制分析表明,涨跌停制度变革能够有效减少投资者的“羊群行为”,且有助于抑制过度投机,继而改善股票流动性。最后,对政策效果进行拓展性分析发现,涨跌停制度变革提高了市场定价效率,但并不会提升市场风险,从而回应了投资者对于该政策可能加剧市场风险的关切。本文的研究结果证实了涨跌停制度变革的适当性与必要性,表明这一变革符合我国发展高质量资本市场的长期目标,并为进一步深化资本市场改革提供了经验证据。A robust foundational structure for the capital market is essential for its high-quality development.As China's capital market reform continues to deepen,the price limit reform(PLR)has undergone its most significant transformation in over two decades.Conducting a comprehensive assessment and evaluation of the pilot PLR program will not only help to reconcile the divergent academic views on the effectiveness of the circuit price limit,but provide more invaluable insights for further capital market reform.This holds great significance for strengthening the capital market's role in resource allocation.Using the relaxation of price limit(from 10%to 20%)on the Growth Enterprise Market(GEM)as a quasi-natural experiment,we conduct a detailed investigation on the policy effects of PLR.First,by analyizing the realization of daily return and the short-term reaction of stock prices after certain shocks,we find that after PLR,the proportion of daily returns reaching±10%didn't increase but rather decreased,and price change after either positive or negative shocks became more stable,suggesting that PLR has an improvement effect on the market trading environment.Second,the empirical results based on the DID model show that PLR has significantly improved stock liquidity:specifically,under the 20%price limit,the price impact caused by each billion-yuan trading volume has decreased by about 0.73 percentage points,which is equivalent to nearly one-fifth of the average price impact.Third,we investigate the influence channel of PLR on stock liquidity from the perspective of investor behavior,and verify that PLR can alleviate investors'irrational behaviors and restrain speculative manipulations.Finally,we carry out exploratory investigations on the following two questions:First,how does price limit affect price discovery efficiency?Second,will PLR increase market risk?The former question is the focus of the academic debate about price limit,while the latter is the most common concern of investors.Our research results show that PLR ef

关 键 词：涨跌停制度变革 股票流动性 投资者行为 市场定价效率 流动性风险 

分 类 号：F832.51[经济管理—金融学]