交易停牌、價格波動與交易量： 中國市場實證

Abstract

本篇研究探討2015年7月所發生的中國股票市場崩盤期間的停牌潮對於交易量以及價格波動程度的影響。我們設計出一組正常交易日的對照組作為「假性停牌」，藉著控制住相同公司、相同停牌期間、以及最小絕對市場調整報酬（與真實停牌的絕對市場報酬差異趨近於零）來媒合。同時，為了釐清上海證券交易所與深圳證券交易所公佈的停牌原因，以及停牌當天所公佈的新聞資訊有沒有關聯性，我們將停牌及假性停牌樣本皆依照停牌原因及消息分門別類，特別的是，研究結果顯示，此陸股崩盤為一相當特殊的時期，無法以正常停牌觀點進行解釋，此時的停牌效果並沒有增加復牌後的交易量以及價格波動度，反而呈現兩者下降的情況。考慮可能是中、美交易制度不同的影響所干擾，我們控制住漲跌停板的影響，從樣本中移除於停牌時觸及漲跌停的樣本，重新做了一次檢驗，發現陸股停牌潮確實降低了復牌的交易量及價格波動。

The trading suspension during China stock market crash is a very situation that cannot be explained by normal comprehension. In this study, we select halt data during the trading week when the market crash exploded. Then, we design a “pseudohalt”, which control for the same corporation, duration, and the closest absolute value of market-adjusted return in the normal trading day to duplicate the real halt. Therefore, we can compare the difference in volume and volatility between the halt and the corresponding “pseudohalt”. To explore the influence more clearly, we group the observations by the reason why it halt and by the news it announced on that day. The consequence reveals that both the volume and volatility decrease rather than increase after the halt in 2015. For fear that the outcome might be interfered by price limits on China stock market. We remove samples hitting price limits, then still find that after the halt during China stock market, both the volume and volatility decrease.