【摘要】：近年來(lái),隨著我國(guó)經(jīng)濟(jì)迅速發(fā)展,我國(guó)的資本市場(chǎng)建設(shè)也取得了舉世矚目的成就,雖然從上市公司數(shù)目、融資額和投資者數(shù)量上來(lái)看,我國(guó)資本市場(chǎng)已經(jīng)頗具規(guī)模,但是作為一個(gè)新興市場(chǎng),我國(guó)資本市場(chǎng)存在信息不對(duì)稱程度高等問題。停牌作為穩(wěn)定股價(jià)的重要工具,其主要目的是減少信息的不對(duì)稱程度,提高證券市場(chǎng)的透明度,使投資者在重要信息到達(dá)前有足夠的時(shí)間評(píng)估并以此調(diào)整自己的投資策略,從而提高復(fù)牌后價(jià)格發(fā)現(xiàn)效率,進(jìn)而提高市場(chǎng)的透明度和維護(hù)市場(chǎng)的有序運(yùn)行。基于此,本文主要研究了各類型停牌是否達(dá)到了監(jiān)管層的目的? 本文首先直觀地比較了境內(nèi)外停牌制度的差異。與境外成熟市場(chǎng)相比,滬深交易所主要有以下特征：停牌種類繁多、次數(shù)頻繁、停牌持續(xù)的時(shí)間較長(zhǎng)、無(wú)同步停牌和強(qiáng)制復(fù)牌措施、無(wú)斷路器及特有的“新股上市盤中臨時(shí)停牌”等。 其次,本文使用滬深A(yù)股市場(chǎng)2008年10月1日-2011年11月1日的停復(fù)牌和交易數(shù)據(jù),我們通過(guò)事件研究法研究了例行停牌、異常波動(dòng)停牌和重大事項(xiàng)停牌事件窗內(nèi)的平均異常收益率AAR,接著我們構(gòu)造與停牌日"Halt Days"樣本相對(duì)應(yīng)的非停牌日"Non-Halts Days"樣本,通過(guò)虛擬變量多元回歸分析了不同類型停牌停牌前后的異常交易行為,本文以信息釋放和價(jià)格發(fā)現(xiàn)效率為標(biāo)準(zhǔn)評(píng)價(jià)新版停牌制度的有效性與否。研究發(fā)現(xiàn)： 1)由于例行停牌屬于可預(yù)期停牌,投資者往往根據(jù)自己心里預(yù)期提前調(diào)整投資策略且其調(diào)整的方向是正確的,同時(shí)其本身的信息含量較低,且大多需要停牌4個(gè)小時(shí),嚴(yán)重阻礙了交易的連續(xù)性； 2)雖然進(jìn)一步放大了復(fù)牌日的股票成交量、加劇了復(fù)牌日股票價(jià)格的波動(dòng),但能有效地降低股票的平均異常收益率,同時(shí)壞消息異常波動(dòng)停牌復(fù)牌后價(jià)格調(diào)整速度相對(duì)較慢,總體上來(lái)說(shuō),異常波動(dòng)停牌基本上達(dá)到了警示性目的； 3)重大事項(xiàng)停牌,停牌前信息發(fā)生嚴(yán)重的泄露或存在嚴(yán)重的“內(nèi)幕交易”行為,因此,停牌只能起到事后警示的作用,由于停牌推遲了投資者的交易需求、阻礙了交易的連續(xù)性,復(fù)牌進(jìn)一步放大了股票的成交量和加劇了股票的波。動(dòng),復(fù)牌并沒有消除信息的不確定,同時(shí)復(fù)牌后壞消息的價(jià)格發(fā)現(xiàn)效率較低,我們認(rèn)為,重大事項(xiàng)停牌的實(shí)施效果并不是很理想。
[Abstract]:In recent years, with the rapid development of China's economy, China's capital market construction has also made remarkable achievements, although from the number of listed companies, the amount of financing and the number of investors, China's capital market has taken on a rather large scale. However, as an emerging market, China's capital market has a high degree of information asymmetry and other problems. As an important tool to stabilize stock price, the main purpose of suspension is to reduce the asymmetry of information, improve the transparency of the securities market, and give investors enough time to evaluate and adjust their investment strategy before the important information arrives. In order to improve the efficiency of price discovery after the resumption of trading, and then improve the transparency of the market and maintain the orderly operation of the market. Based on this, this paper mainly studies whether the various types of suspension achieve the purpose of regulatory layer? At first, this paper compares the difference of the suspension system between inside and outside the country intuitively. Compared with the mature overseas markets, the Shanghai and Shenzhen exchanges have the following characteristics: there are many kinds of suspensions, the times are frequent, the suspension lasts for a long time, and there is no simultaneous suspension or compulsory resumption of trading. No circuit breaker and unique "new stock market temporary suspension" and so on. Secondly, using the data of suspended trading and trading in Shanghai and Shenzhen A share market from October 1, 2008 to November 1, 2011, we have studied the routine suspension through event research. The average abnormal rate of return in the event window of abnormal volatility suspension and major event suspension is obtained. Then we construct the "Non-Halts Days" sample corresponding to the "Halt Days" sample of the suspension date. The abnormal trading behavior before and after different types of suspension is analyzed by multiple regression analysis of virtual variables. This paper evaluates the validity of the new suspension system by the criteria of information release and price discovery efficiency. The results show that: 1) due to the expected suspension of trading, investors tend to adjust their investment strategy in advance according to their own expectations, and the direction of adjustment is correct, and their own information content is relatively low. Most of them were suspended for four hours, which seriously hindered the continuity of trading; 2) although the volume of stock trading on the day of resumption was further enlarged, the volatility of stock prices on the day of resumption was aggravated. But it can effectively reduce the average abnormal return rate of stock, and at the same time, the price adjustment speed is relatively slow after the abnormal fluctuation of bad news suspends trading to resume trading, on the whole, the abnormal fluctuation suspension basically achieves the warning purpose; 3) serious leakage of information or serious "insider trading" behavior occurred before the suspension of trading, so the suspension can only serve as a warning after the event, because the suspension of trading delayed the trading demand of investors. This hinders the continuity of trading and further amplifies trading volume and exacerbates the stock market. At the same time, the price discovery efficiency of bad news after the resumption of trading is low, we believe that the implementation effect of major items suspension is not very ideal.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2176683