【作者】 吴晓华；

【导师】 朱蕾； 朱宏晖；

【作者基本信息】 上海交通大学 ， 工商管理（MBA）（专业学位）， 2016， 硕士

【摘要】 停牌(Trading Halts)是证券交易所应发行人要求或根据特殊情况,暂时停止交易所公开交易相关证券的制度。发行人要求停牌一般是由于证券价格出现异常波动或有重大消息待公布时,为保证公平性原则,避免信息不对称而申请暂停公开交易。待情况澄清后,发行人可以申请复牌恢复在证券交易所进行交易。发行人的停牌或复牌要求须经过交易所审核同意。停牌制度制实施的本意,是为了规范信息披露秩序,抑制证券市场价格波动幅度,维护交易秩序稳定,以保护中小投资者的利益。中国资本市场作为一个新兴资本市场,在上市公司管理规范化,监管效率等方面与成熟资本市场之间还存在一定差距。在停牌制度方面,发行人的停牌复牌审批管理较宽松,停牌有时成为大股东或管理层等为了维护自身利益需要,操纵的证券交易的一种手段。在2015年下半年中国资本市场的“股灾”中,上市公司股票出现了大量发行人主动要求停牌的现象。短期内集中出现的大量停牌显然不能以公司正常的经营活动来解释。此次上市公司大量停牌比较合理的解释是上市企业希望通过紧急发布停牌公告的方式,规避“股灾”系统性风险对于股票价格的冲击。如果将该期间大量停牌理解为上市公司意图规避“股灾”冲击的工具,那么,上市公司能否利用停牌制度,实现自己的目的,即“停牌”是否可以规避“股灾”对个股的冲击?是本文研究关注的主要问题。为此,本文以2015年6月16日到2016年3月31日期间宣布停牌并最终实现复牌的个股作为研究样本,考察样本停复牌与公司股价变动之间的相关关系。论文手工统计了该期间上市公司停复牌公告,通过实证研究方法,检验企业通过停牌方式避免系统性风险冲击是否有效。本文研究结果发现:(1)研究样本在复牌之后的20个交易日内,均表现出超出资本市场大盘的超额收益表现,且其趋势呈现出明显的上升趋势,即停牌在一定程度上可以保护上市公司大股东的利益免受系统性风险的冲击影响;(2)停牌事项未得到履行的样本以及选择策略性停牌的研究样本均表现出显著的正向超额收益,停牌前融资买入的投资者是公司复牌之后的主要空头势力;(3)对于策略性停牌组,即在大盘短期暴跌期间选择停牌的个股,部分公司由于遭受到错杀的风险,在资本市场企稳后显现出估值修复的机会;(4)对于非策略性停牌组,停牌期间的披露事项若无法兑现,则面临着补跌的风险,资本市场投资者对于大股东的停牌行为具有一定的辨识度,即停牌制度只有在系统性风险条件下,才有可能作为大股东实现自我保护的有效工具。本文研究结果发现,企业利用停牌制度,可以一定程度上避免“股灾”的系统性风险。在我国取消熔断制度后,企业可以利用停牌制度,一定程度上维护本企业投资者的利益。更多还原

【Abstract】 Generally,trading halts refers to due to some kind of messages or some kind of ongoing activities,which lead to a continuous significantly up or down of stock price,in order to guarantee the principle of fairness,the issuer initiatively apply or the stock exchange suspend the stock trading activities,and after the message has been clarified or the situation returns to normal,then resume trading in exchange-listed trading system.The formal intension of the trading halts system,is to standardize the information disclosure order,thus suppressing the extremely fluctuations of stock price,maintaining the normal transaction order,so as to protect the interests of private investors.The Chinese capital market is an emerging capital market,which is different from the mature capital markets within the listed company management standardization,regulatory efficiency and so on.As a consequence,the trading halts system which was intend to maintain the regular trading order,do not show the effect of corporate governance,while to some extent become a major shareholder in order to safeguard their own interests and other needs,the use of the suspension system of a stock price manipulation carried abuse The phenomenon in the second half of 2015,China’s capital market disaster in performance is particularly evident.During the market disaster of 2015,a large number of listed companies issued an emergency trading halts,intending to minimize the impact of stock market systemic risk.The trading halts policy seems to be the self-protection tools of the majority shareholder.Since the trading halts policy has been abused by the listed companies,becoming the role of invading the impact of stock market disaster,we are wondering could these listed companies use the suspension system to achieve their own purposes,namely,to avoid the stock market disaster impact?This is the main issue of the paper concerned.Therefore,with the research samples between 16 June 2015 to 31 March 2016,which has announced the trading halts,and ultimately the resumption of stocks exchange,we examine correlation between the stock trading suspension and stock performance after the resumption,with the data of stock suspension and resumption by hand,we employ the empirical research methods to examine whether the trading suspension has been abused.Results of this study show that:(1)within 20 days after the resumption of stock exchange,the research samples have shown the evidence of outperformed than the stock market index,and the trend of CAR shows a clearly upward;(2)the group of unfulfilled and the group of strategic suspension samples show the significant positive excess returns than the stock market index,while investors which buying before the suspension is a major short power after the resumption of trading;(3)as to the strategic suspension groups,namely those companies who choice to suspend during the stock market slump,the valuation will receive the opportunity of recovering for the companies suffering the valuation mis-accused(4)for the group of non-strategic suspension,if the items cannot be fulfilled during the suspension period,will facing the fact of price falling after resumption,namely suspension system only under conditions of systemic risk,can be the major shareholder of possible effective tool to achieve self-protection.The results of this study show that the use of the suspension system,to some extent,could avoid the "stock market crash" systemic risk.In China,after the abolition of the fuse system,companies can use the suspension system to protect the interests of investors in this enterprise.更多还原