中国股市停牌后的短期市场反应

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英文标题：
《Short-term Market Reaction after Trading Halts in Chinese Stock Market》
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作者：
Hai-Chuan Xu, Wei Zhang, Yi-Fang Liu
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最新提交年份：
2014
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英文摘要：
  In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday halts, one-day halts and inter-day halts, of 203 stocks in Shanghai Stock Exchange from August 2009 to August 2011. We find that absolute return, trading volume, and in case of bid-ask spread around intraday halts share the same pattern with a sharp peak and a power law relaxation after that. While for different types of trading halts, the peaks\' height and the relaxation exponents are different. From the perspective of halt reasons or halt duration, the relaxation exponents of absolute return after inter-day halts are larger than that after intraday halts and one-day halts, which implies that inter-day halts are most effective. From the perspective of price trends, the relaxation exponents of excess absolute return and excess volume for positive events are larger than that for negative events in case of intraday halts and one-day halts, implying that positive events are more effective than negative events for intraday halts and one-day halts. In contrast, negative events are more effective than positive events for inter-day halts.
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中文摘要：
本文利用上海证券交易所的高频数据研究了停牌后绝对收益率、成交量和买卖价差的动态变化。我们处理2009年8月至2011年8月上海证券交易所203只股票的所有三种类型的停牌交易，即当日停牌、一日停牌和日间停牌。我们发现，绝对收益率、交易量以及在日内止损前后的买卖价差具有相同的模式，出现尖峰，之后出现幂律松弛。而对于不同类型的止损，峰值的高度和松弛指数是不同的。从止损原因或止损持续时间来看，日间止损后的绝对收益松弛指数大于日间止损和一日止损后的绝对收益松弛指数，表明日间止损最有效。从价格趋势来看，在日内暂停和一天暂停的情况下，正面事件的超额绝对收益和超额交易量的松弛指数大于负面事件的松弛指数，这意味着对于日内暂停和一天暂停，正面事件比负面事件更有效。相反，对于日间休息，消极事件比积极事件更有效。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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关键词：中国股市 市场反应 国股市 Quantitative Econophysics