| Recent years, with China’s rapid economic development, China’s capital market has also made remarkable achievements, from the number of listed companies, the amount of IPO financing and the number of investors, but as an emerging market, there is still severe asymmetry of information problem in China’s capital market. The trading halts as an important tool for a stable share price, its main purpose is to reduce the degree of asymmetry of information, to enhance the transparency of the securities market, so that investors have enough time to evaluate and adjust their investment strategy before the arrival of important information, thereby enhancing the price discovery efficiency after resumption, thus improving the market transparency and maintaining an the orderly market. Based on this, this paper mainly studies the implementation effect of different types of the trading halts.First of all, we compare the difference of trading halts between China’s capital market and other’s. Compared with foreign mature trading halts system, the Shanghai and Shenzhen Stock Exchange have the following characteristics:a wide range of the trading halts, frequent, the long duration, there is no coercive measures in synchronized trading halts and enforcement of resumption, no circuit breakers and unique "IPO intraday temporary trading halts" and so on.Second, Using the trading halts and transaction data of A-shares listed in the Shenzhen and Shanghai Stock Exchange from October12008to November12011, through the event study we analyzed average abnormal returns of each type of the trading halts in event windows, we also created a "halt-day" sample and the corresponding "non-halt-day" sample, through dummy variable multiple regression analyzed the abnormal trading behavior of the various types of halts; This paper based on the information release and price discovery efficiency as a standard to evaluate the effectiveness of the new version of halts, Study found that:1) Because the routine trading halts belongs to the expected halts, according to their own expectations, the investors often tend to adjust their investment strategy ahead of the routine trading halts and the direction of the adjustment is correct, while information content of the routine trading halts is very low, and most of the routine trading halts need suspend for four hours, Trading continuity is seriously hindered;2) Although the abnormal fluctuations halts further enlarge the turnover and exacerbate the volatility of stocks on the resumption day, but the abnormal fluctuations halts can effectively reduce the average abnormal returns of the stocks, while adjustment speed of price of the bad news halts is relatively slow, generally speaking, the abnormal fluctuations halts is basically reached the warning purposes.3) For the major issues halts, there is a serious information leak or serious "insider trading" behavior before the halts, so the halts can only play the role after the information leak, the major issues halts delayed the trading needs of investors and hinder the continuity of the transaction, meanwhile the resumption further enlarge the turnover and exacerbate the volatility of stocks, so resumption doesn’t eliminate the uncertain of information, last the efficiency of price discovery of the bad news halts is very slow, we think, the implementation effect of the major issues halts is very limited. |
