基于理性预期框架的停牌制度研究：理论与实证.pdf

基于理性预期框架的停牌制度研究：理论与实证* ** 廖静池 ，李平，曾勇 （电子科技大学经济与管理学院, 成都 610054 ） 内容提要：本文在理性预期的框架下构建模型，通过定价偏差、信息揭示程度、市场深度和价格波动 分析了连续交易机制和停牌制度之间的差异。研究结果表明，连续交易和停牌的优劣，实际上取决于市场 知情者人数的多少；而公告信息精度的高低，也在另一方面决定了停牌实施的效果。另外，本文使用中国 股票市场的停牌和交易数据对理论模型进行了相关检验。结果发现，在中国股票市场，无论是例行停牌还 是警示性停牌，停牌后的市场深度和价格波动总是大于非停牌日平均水平，这表明中国股市的停牌在一定 程度上并没有达到优于连续交易的预期效果。 关键词：连续交易，停牌，定价偏差，信息揭示程度，深度，价格波动 Study on trading halts mechanism in the light of rational expectations: Theory and evidence Liao Jingchi, Li Ping, Zeng Yong （School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 610054, China ） Abstract: In light of rational expectations, this paper models the differences between continuous trading and trading halts mechanisms via mispricing, information revelation, market depth and price volatility. Our model shows that the advantages or disadvantages of continuous trading over trading halts depend on the number of informed traders in the market. The precision of noticed information will affect the effects of trading halts. In addition, this paper uses data of trading halts on the Chinese stock market to test the theoretical model. The empirical results indicate that, compared with non-halt days, stocks after trading halts in the Chinese stock market, whether routine halts or warning halts, have higher depth and larger price changes during the resumption periods. The trading halt mechanism on the Chinese stock market can not achieve its expected effects to be better than continuous trading. Key words: continuous trading, trading halts, mispricing, information revelation, depth, price volati