A股市场新版停牌制度实施效果的实证研究

本文使用A股市场2008年10月1日至2011年11月1日的停复牌和交易数据，通过构造与“停牌日”样本相对应的“非停牌日”样本，利用多元回归分析了不同类型停牌的异常交易行为，以信息释放和价格发现效率为标准评价新版停牌制度。研究表明：例行停牌阻碍了交易的连续性；异常波动停牌虽放大了复牌日股票的成交量和波动率．但有效地降低了股票的异常收益率，同时坏消息复牌后价格调整速度相对较慢；重大事项停牌存在严重的“消息泄露”，仅能起到事后警示的作用，复牌并没有消除信息的不确定，同时坏消息复牌后的价格发现效率较低。

An Empirical Analysis of the Effectiveness of the New Trading Halts System on Chinese A-share Stock Market

Using the trading halts and transaction data of A-shares listed in the Shenzhen and Shanghai Stock Exchange from October 1, 2008 to November 1, 2011, through the ＂halt-day＂ sample and the corresponding ＂non-halt-day＂ sample, we analyzed the abnormal trading behavior of the various types of halts with dummy variable multiple regression. This paper evaluated the effectiveness of the new version of halts, based on the standards of information release and price discovery efficiency. We found that： the trading continuity of the routine trading halts is seriously hindered; although the abnormal fluctuations halts enlarge the turnover and exacerbate the volatility of stocks on the resumption day, but the abnormal fluctuations halts can effectively reduce the abnormal returns of the stocks, meanwhile adjustment speed of price of the had news halts is relatively slow;the major issues halts has a serious information leak before the halts, resumption doesn＇t eliminate the uncertain of information, meanwhile the efficiency of price discovery of the bad news halts is very slow.