摘要
涨跌停制度的有效性问题一直是市场微观结构领域争论的焦点。本文借助2020年创业板放宽涨跌幅限制改革这一准自然实验,并引入同属于市场断路器研究领域的拟停牌匹配方法,实证检验了放宽涨跌幅限制改革对股票流动性的影响。结果发现:(1)相较于可比较的对照组样本,改革后样本具有更低的日度非流动性指标,说明放宽涨跌幅限制改革有助于提升股票流动性;(2)改革提升股票流动性的作用机制主要来自通过增加股票交易规模、为投资者情绪降温以及提高定价效率所产生的影响;(3)改革的作用效果具有异质性,对于小市值股票、低投资者情绪一致性以及低盈余信息质量的股票而言,放宽涨跌幅限制改革以提升流动性的正面价值更高。本文的研究为评估放宽涨跌幅限制改革的政策效果提供了一个来自股票流动性的证据,并为未来继续完善中国市场涨跌停制度提供了启发。
As an integral part of the Chinese stock market trading mechanism,price limits have contributed significantly to the stability of the capital market.However,with China being one of the fast-growing emerging markets,the effectiveness of price limits,particularly on stock liquidity,has been controversial,and has thus drawn much attention from regulators.In 2020,to foster a more dynamic market,the ChiNext Board implemented a reform aimed at easing price limits,including expanding the daily price limit from 10%to 20%for individual stocks,to provide greater price flexibility.Yet,many questions remain unanswered regarding how the reform affects Chinese stock liquidity,and why.This paper examines the impact of price limits on stock liquidity in the Chinese stock market using the quasi-natural experiment of the above mentioned 2020 price limits easing reform of the ChiNext Board.We established a theoretical framework specifically designed for analyzing stock liquidity based on the characteristics of investors within the Chinese stock market,and drew upon prior research on market circuit breakers.We first investigated the mechanisms through which the relaxation of daily price limits affected stock liquidity and proposed testable hypotheses.Then,employing the pseudo-halt matching methodology,we constructed a sample of the treatment group and the comparable control group.Based on the price limits easing reform of the ChiNext Board in 2020,we empirically tested the reform's effect on stock liquidity.The result shows that when the daily price limit was expanded from 10%to 20%,there was a decrease in daily illiquidity in the treatment group compared to the control group,suggesting that relaxation of price limits can improve stock liquidity.Moreover,the mechanism analysis indicates that the price limit easing reform enhances stock liquidity by reducing trading interference,resulting in increased stock trading volume,cooler investor sentiment,and higher pricing efficiency.Heterogeneity analysis further shows that the effect is more pronounced for stocks with smaller market valuation,lower investor sentiment consensus,and poor earnings information quality.This paper contributes to existing literature on price limits in several ways.First,this paper provides direct evidence of the impact of the relaxation of price limits on stock liquidity.Existing literature investigates the effectiveness of price limits mainly based on the 1996 reform which introduced a daily price limit capped at 10%.Only two papers study the impact of the 2020 reform on the efficiency of the Chinese stock market.Focusing on stock liquidity,this paper sheds light on a new perspective for evaluating the effectiveness of the 2020 reform.In addition,we established a novel theoretical framework specifically for analyzing stock liquidity based on the characteristics of investors in the Chinese stock market,and classified investors as aggressive traders and liquidity traders.Finally,using the pseudo-halt matching methodology,the paper helps address endogeneity issues in the empirical research on the economic outcomes of the price limit easing reform.Overall,this paper provides evidence of the effectiveness of the 2020 policy and suggestions for improving the price limits mechanism in the Chinese market.
作者
石阳
宋佳
康乐
闫一诺
SHI Yang;SONG Jia;KANG Le;YAN Yinuo(Northwest University,710127;Renmin University of China,100872)
出处
《财贸经济》
CSSCI
北大核心
2023年第12期82-98,共17页
Finance & Trade Economics
基金
国家自然科学基金青年项目“上市公司随意停牌的经济后果及其作用机制研究”(71903152)
教育部人文社会科学一般项目“强制退市威胁对企业资本配置效率的影响——基于常态化退市改革的研究”(23XJC790006)。
作者简介
石阳,西北大学经济管理学院副教授,710127;通讯作者:宋佳,西北大学经济管理学院硕士研究生,710127;康乐,西北大学经济管理学院讲师,710127;闫一诺,中国人民大学经济学院硕士研究生,100872。
