中国A股涨跌停交易制度与投资者处置效应  

Price Limit Rule of Chinese A-Share and Investors'Disposition Effect

作　　者：肖欣荣[1] 周晏伊 XIAO Xinrong;ZHOU Yanyi(China School of Banking and Finance,University of International Business and Economics)

机构地区：[1]对外经济贸易大学中国金融学院,北京100029

出　　处：《金融研究》2024年第9期153-170,共18页Journal of Financial Research

基　　金：对外经济贸易大学中央高校基本科研业务费专项(19YB14)的资助。

摘　　要：本文利用A股主板和创业板股票数据,研究涨跌停交易制度对投资者处置效应的影响。研究发现:涨跌停交易制度会强化投资者处置效应;在放宽涨跌幅限制是否能缓解处置效应的检验中,该结论得到进一步验证。由于处置效应认为投资者对盈利的敏感性大于亏损,本文也发现,涨幅限制会强化股票浮盈程度与投资者出售行为的正向关系,而跌幅限制对股票浮亏程度与投资者出售行为关系的影响较弱。机制检验表明,涨跌停交易制度通过抓取投资者注意力影响投资者处置效应。分析发现,涨跌停交易制度强化投资者处置效应的现象,主要存在于个人投资者而非机构投资者中。进一步研究发现,涨跌停交易制度对投资者处置效应的作用会影响资产定价。本文的发现,为涨跌停交易制度强化投资者非理性交易行为提供了进一步的证据,强调了改革涨跌停交易制度的必要性,同时为信息导向的金融市场投资者决策提供有益启示。The price limit rule of A-shares was introduced in 1996,initially aimed at preventing drastic price fluctuations and controlling market risk,while avoiding panic selling by investors.However,numerous studies have shown that when stock prices hit the price limit,rather than reducing volatility or curbing speculative trading,the rule impairs the market's price discovery function,and even produces a“magnet effect”.Moreover,when stock prices approach the limit,they often trigger a series of irrational trading behaviors among investors,with the disposition effect being one such behavior.According to the disposition effect,investors tend to sell stocks with higher unrealized gains more frequently than those with lower gains.The occurrence of a price ceiling event can capture investor attention,thereby potentially reinforcing the positive relation between the unrealized gains and investors'selling behavior,i.e.disposition effect.Despite price floor events also drawing investor attention,due to the disposition effect investors are more sensitive to gains than losses,and the impact of lower price limits on the relation between unrealized losses and investors'selling behavior is weaker.However,related research mainly focvces on the direct impact of price limit events on investors'trading behavior,with less attention given to the effect of the price limit rule on the disposition effect.Therefore,this paper utilizes the stock data of the Chinese A-share Main Board and Growth Enterprise Board from January 2005 to November 2023 and systematically studies the effects of the price limit rule on the disposition effect.First,we assess the disposition effect by analyzing the relation between unrealized gains or losses in stocks and investors'selling behavior,revealing that the price limit rule amplifies the disposition effect among investors.Additionally,we employ the relaxation of price limit on the Chinese A-share Growth Enterprise Board as a quasi-natural experiment,providing further evidence that the price limit rule streng

关 键 词：涨跌停交易制度 处置效应 有限注意力 

分 类 号：F83[经济管理—金融学]