异常波动停牌对股价波动性和流动性的影响研究——来自我国取消异常波动停牌的自然实验

doi:10.12094/1002-7246（2017）09-0146-15

Journal of Financial Research

2017, Vol. 447

Issue (9): 146-160 DOI: 10.12094/1002-7246（2017）09-0146-15

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The Effect of Abnormal Volatility Trading Halt on Price Volatility and Liquidity: A Natural Experiment from the Cancellation of Abnormal Volatility Trading Halt

HU Ting, HUI Kai, PENG Hongfeng

Economics and Management School, Wuhan University

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Abstract How to accurately test the effect of trading halts and reform our existing trading suspension system accordingly has become an urgent issue. Using the cancellation of the abnormal volatility trading halts in Shanghai and Shenzhen stock exchanges in 2012 as a natural experiment, we overcome the difficulty to control the impact of the difference in the information shock and more accurately test the effect of trading halts. Moreover, for the first time we test the implementation effect of the cancellation of the abnormal volatility trading halt. We find that abnormal volatility trading halt increases post-halt volume and volatility and decreases liquidity. These results imply that abnormal volatility trading halt impairs rather than improves market efficiency.

Key words： Trading Halt Natural Experiment Volatility Liquidity

Received: 12 August 2016 Published: 18 January 2018

JEL分类号:	G10
	G11
	G14

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	HU Ting
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HU Ting,HUI Kai,PENG Hongfeng. The Effect of Abnormal Volatility Trading Halt on Price Volatility and Liquidity: A Natural Experiment from the Cancellation of Abnormal Volatility Trading Halt[J]. Journal of Financial Research, 2017, 447(9): 146-160.

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http://www.jryj.org.cn/EN/10.12094/1002-7246（2017）09-0146-15 OR http://www.jryj.org.cn/EN/Y2017/V447/I9/146

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