【作者】 王波；

【导师】 黄霖；

【作者基本信息】 西南财经大学 ， 金融学， 2013， 博士

【摘要】 虽然世界上相对最发达最成熟的美国和伦敦两个股票交易市场并没有对股票的交易实行涨跌幅限制,但这并不影响学者们对此问题的关注。学者们利用世界其它正在实施此种交易制度的股票市场数据,对此问题进行了反复研究。尽管学者们不断地寻找不同市场的证据支持,但略显不足的是,大家对每个市场的研究都停留在从四种效应(波动性溢出效应、价格发现延迟效应、交易干扰效应和磁吸效应)的角度出发,考察涨跌停板限制制度对市场有效性的影响,很少有学者从信号传递的角度对这个问题进行过深入研究。本文将以市场微观结构理论为背景,从知情交易者信号传递的视角,考察股票涨跌停板行为是否包含股票未来走势的有用信息。首先以涨停板为例,建立知情交易者通过将股票价格推至涨停板位置的行为向市场传递出其所拥有的私人信息,以及其对股票未来短中期走势的信心；其次,通过实证分析验证中国A股市场是否存在“涨停板溢价效应”和“跌停板折价效应”,并给出合理的解释；再者,进一步考察经常发生涨跌停板事件股票的典型特征,为投资决策的制定提供更坚实的依据；最后,拓展我们的基础研究,以涨跌停板限制制度为背景,将金融市场最基础最核心的两个变量——价格和成交量有机结合起来,考察涨停板与大交易量之间的深层次关系,更进一步加深我们对量价关系的理解。本文的理论意义在于：不仅丰富了有关涨跌停板限制制度方面的研究文献,并且对从另一侧面再次了解我国A股市场的弱有效性特征提供了新的证据支持,同时还加深了我们对量价关系的认识和理解。本文的实际意义在于：(1)本文通过理论和实证分析发现,我国A股市场的涨跌停板限制制度在短中期内均具有助涨助跌的作用,为市场监管部门进一步完善交易制度提供了坚实的依据。(2)在此种交易制度没有调整或者取消之前,有利于投资者利用此类事件做出正确的投资决策。本文的研究内容具体主要包括理论基础、相关的文献综述和分析、中国A股市场涨跌停板信号传递效应的理论和实证分析和股票涨停板和大交易量的深层次联系研究。全文共分为七章,各章的具体内容和结论如下：第一章为导论,主要介绍本文的选题背景、研究问题、逻辑思路、研究内容和研究意义。第二章从市场结构、基于信息的模型和知情交易者的策略行为三个方面对市场微观结构理论加以论述,为后文理论模型的建立奠定坚实的基础。第三章对涨跌停板限制制度的研究文献进行回顾和评述,主要包括学者们以除美国和伦敦股票市场以外的世界其它正在实施此种交易制度的市场为研究对象,分别从波动性溢出效应、价格发现延迟效应和交易干扰效应三个方面,检验了此种交易制度实施的有效性问题,也有学者验证了涨跌停板限制制度是否会使得股票在日内具有很强的磁吸效应问题。同时,我们还对我们所认为的,同中国A股市场股票发生涨跌停板事件很相近的,并且在国外相对成熟市场(主要是美国和伦敦股票市场)上经常发生的--股票价格在某天出现大幅上涨或者下跌(大于等于10%)事件做出了综述。第四章是后续第五章和第六章实证拓展研究的基础。本章首先以涨停板为例,建立了知情交易者通过将股票价格推至涨停板位置的行为,向市场传递出其所拥有的私人信息,以及其对股票未来走势的信心的理论模型。其次,采用标准事件研究法验证发现,中国A股市场存在“涨停板溢价效应”和更加明显的“跌停板折价效应”,即股票涨停板之后60天持有期的累积平均异常收益,上证A股为4.568%,深证A股为5.092%；股票跌停板之后60天持有期的累积平均异常收益,上证A股为-10.720%,深证A股为-11.335%,并且两种效应是非对称的,跌停板的折价效应明显强于涨停板的溢价效应。然后,在排除诸如价格发现延迟假说、动量效应、反转效应、公告效应、系统性风险、流动性溢价的相关解释之后,发现投资者关注能很好地解释“涨停板溢价效应”,而“跌停板折价效应”只有处置效应能做出合理的解释。最后,我们验证了投资者基于涨(跌)停板所传递出的信号的投资策略确实能获得显著的经济效益。第五章,我们在第四章研究的基础上,进一步通过回归分析考察经常发生涨跌停板事件股票的典型特征,为投资策略的制定提供更加坚实的依据。通过GMM回归分析我们发现,波动性、换手率、公司规模和账面市值比是影响股票涨(跌)停板频率的重要因素,同时公司基本面依然是影响股票跌停板频率的显著因素。更进一步,我们结合中国A股市场的自身特征,在牛熊市和股权分置改革前后两种特定市场条件下,再次考察了经常发生涨(跌)停股票的典型特征。最后给出了相应的投资建议。第六章是基于涨跌停板限制制度,将金融市场两个最基础变量——价格和交易量有机结合的拓展研究。Gervais等(2001)发现极端的交易量包含着关于股票价格未来演变趋势的有用信息,即能预测股票未来的收益,Zhou(2010)沿用Gervais等(2001)的方法,发现在中国A股市场极端的交易行为也能预测股票未来的收益,只是大交易量这种冲击效应在中国A股市场持续的时间相较于美国NYSE市场来说比较的短暂,即Gervais等(2001)中100天的检验期均能获得显著为正的累积平均异常收益,而Zhou(2010)发现只在30天的检验期均能获得显著为正的累积平均异常收益。我们基于依然采用Gervais等(2001)“前10%原则”来定义中国A股市场的大交易量的适用性问题、中国股票市场的高波动性特征和数据选取三方面的理由,对Zhou(2010)的实证结果产生了质疑,并通过改进实证方法研究发现,其实中国A股市场反而存在“大交易量折价效应”。更进一步,我们将股票的涨停板与大交易量结合起来研究发现,二者在中国A股市场存在着更深层次的联系：大交易量前的涨停板能传递出更强的正面信号；即使是涨停板之前的大交易量也同样传递出负面信号；涨停板之后的大交易量传递出更强的负面信号。最后我们认为,在中国A股市场上,投资者关注的不是出现大交易量的股票,而是涨停板的股票。最后给出了相关的投资建议。第七章为全文的总结,本章首先总结了本文研究所得出的重要结论,然后提出本文的研究启示和未来的研究方向。本文在吸收和借鉴国内外研究成果的基础上,首次从知情交易者信号传递的角度考察了我国A股市场的涨跌停板限制制度对股票短中期走势的影响,具有一定的创新性：(1)区别于前人均注重用全球各个股票市场数据,从波动性、价格发现功能及流动性三方面,研究涨跌停板限制制度对市场有效性的影响,本文从另一全新的视角——信号传递对这个问题进行了系统的研究；(2)结合中国A股市场的自身特点,考虑到市场从2000年到2010年典型的牛熊周期特征和股权分置改革前后市场发生的巨大变化,我们进一步考察了在不同市场环境下和不同市场发展阶段,影响股票经常发生涨跌停板事件的公司典型特征；(3)进一步拓展研究范围,将极端的价格变化和极端的成交量变化相结合,在中国A股市场研究两种极端量价关系变化的深层次关系,进一步加深了我们对金融市场上这两个最基础变量的认识。本文的局限性在于：(1)在以涨停板为例,构建股票涨跌停板能向市场传递出知情交易者有关股票未来走势有用信息的理论模型时,考虑的情况较为简单,只考虑了当天股票价格一次就封死涨跌停板的情况,并没有进一步区分刚开始封住涨跌停板,然后又打开涨跌停板,最后又封死涨跌停板的情形；(2)我们只考虑了股票涨跌停板短中期的影响,并没有像Gervai (2001)在研究美国纽约股票市场大交易量那样,考虑这种价格冲击对股票长期的影响。更多还原

【Abstract】 Although there are many scholars pay attention to the issue that how the price limit system can influence the market, but they are nothing more than to test the four effects, that is, volatility spillover effect, delayed price discovery effect, trading interference effect, magnet effect, and to find whether the price limit trading system is effective, few scholars study this issue from the point of the information transmission.In this thesis, we establish the model that how the informed traders disclose their private information through pushing the stock price to the limit, and do empirical research on whether there exist limit-up premium effect and limit-down discount effect. We further analyze the characteristics of the stock that usually hit the limit. Finally, we investigate the relationship between the limit-up and high-volume.The theoretical significance of this thesis is to enrich the relevant research literatures and provide new evidence on the weak effectiveness of the Chinese’s A-share market and to improve our understanding of the relationship between price and volume. We also hope this thesis can provide a solid foundation for policy makers to improve this trading system and give some valuable advice to investors to make the right decision.In this thesis, based on the market microstructure theory, we first establish a theoretical model to show why the stock price limit-up can transfer the informed traders’private information into the market, then to test whether there exist limit-up premium effect and limit-down discount effect and give the suitable explanations. Second, we further analyze the characteristic of the stock which usually hit the limit price. Finally, we examine the relationship between limit-up and high-volume.The thesis begins with a literature review and then followed by background analysis and empirical research. It is divided into seven chapters.Chapter one is an introduction of the research background, issues, contents, framework and the contribution of the thesis.Chapter two introduces the market microstructure theory focusing on market structure, information-based models and the strategy of the informed traders.Chapter three is the literature review on the limit price system and the stock price changes dramatically in one-day. We first introduce the previous studies about the influence of limit price on the market efficiency, such as volatility spillover effect, delayed price discovery effect, trading interference effect and magnet effect. Then, we summarize the research on the impact of big price changes(either increases more than10%or decreases more than10%).Chapter four is the basis of the chapter five and six. In this chapter, we first establish a theoretical model to show why the stock price limit-up can transfer the informed traders’private information into the market. Second, we use event study method to find that there indeed exist limit-up premium and limit-down discount in the Chinese A-Share Market. The delayed price discovery hypothesis, momentum effect, reversal effect, announcement effect, market risk and liquidity premium all do not seem to explain our results. We show that investors’attention can explain the limit-up premium better, however, the disposition effect can make a reasonable explanation about the limit-down discount effect. Finally, we also find that the investors can obtain the economic profitability based on the transmission of the signals of the stock price limit-up or down.On the basis of chapter four, in chapter five, we further use GMM method to analyze what factors can explain the frequency of each stock hiting a price limit. We find that volatile stocks, actively-traded stocks, small market capitalization stocks and value stocks hit price limit-up or limit-down more frenquently than other stocks, at the same time, the fundamentals of a company is also a main factor in explaining the frequency of each stock hiting a price limit-down. According to the Chinese A-Share Market’s own characteristics, we divide our sample into two different kinds of sub-samples:bull and bear, before and after the share reform, to further analyze the characteristics of stocks in the two specific market conditions. At last, we give the related investment suggestions.In chapter six, we find that there does not exist the high-volume premium but the high-volume discount in the Chinese A-Share Stock Market, moreover we find that there exists the limit-up premium. We further find that the limit-up and the high-volume are closely related to each other:The high-volume before the limit-up can deliver a stronger positive signal to the stock market; even the high-volume before the limit-up is also convey a negative signal; the high-volume after the limit-up can convey much stronger negative signal. We believe that it’s not the high-volume stocks that attract investors’attention but the limit-up stocks do. At last, we give some related investment suggestions.Chapter seven is the conclusion of this thesis. It consists of the research finding, the advices we have made, the limitations of this thesis and directions for future research.To summarize, the major contributions of this thesis are as follows.(1) From a new perspective-the signal of the informed traders, we do empirical research on the influence of limit price system on stock price.(2) We further analyze the characteristics of stocks which usually hit limit price level in the two specific market conditions:bull and bear, before and after the share reform.(3) We also further analyze the relationship of limit-up and high volume in the Chinese’s A-share stock market.更多还原