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The Research On The Effect Of Abnormal Volatility Trading Halts In China Stock Market

Posted on:2008-07-01Degree:MasterType:Thesis
Country:ChinaCandidate:S W YiFull Text:PDF
GTID:2189360242965360Subject:Business management
Abstract/Summary:PDF Full Text Request
China stock market has implemented abnormal volatility trading halts since 1998.The stock exchange wants to find abnormal fluctuation of stock transaction timely by the abnormal volatility trading halts,maybe that can put forward the early warning and avoid the enlarge of abnormal fluctuation which may result in great system risk.The stock exchange also makes use of trading halts to supervise and improve the information disclosure system,then the listed company news will be absorbed more effectively by market.But there was little empirical studies on whether the abnormal volatility trading halts can achieve the desired objectives in China.The paper describes and analyses all-round influence of abnormal volatility trading halts in China stock market for the first time.The paper use event study method to examine the individual-security fluctuation,the transaction cost and activity which may influenced by abnormal volatility trading halts.Particularly the paper analyses return and abnormal return of stock,the amplitude of stock price,the inside spreads, the volume and number of trade on the trading days and compares them to the non-trading days.At the same time,the paper also analyses these indicators before and after the trading halts. For trading halts that reopen in a short time period,the volatility of individual-security price increases to more than normal levels,but the liquidity will be improved.Because the trading halts allow investors time to estimate the price of stock again,the trade will be more active at the reopen in a short period.In addition,the paper also analyses the factors including market,policy information,company news and insider dealing which may result in the short abnormal volatility of individual-security. Though these work,we find the policy information is an important factor to cause abnormal volatility in short period.The insider dealing haven't been found by abnormal return,but we can not eliminate the possibility of this factor just base on this. And the most of individual-securities with trading halts didn't have material news to announce,so company news can not explain abnormal volatility well. Finally,the paper uses the behavior financial theory to analyse the strange appearance of market,and to understand more from the analysis of investors' behavior.
Keywords/Search Tags:Abnormal Volatility of Individual-Security, Trading Halts, Event Study, Abnormal Value, Behavior of Investor
PDF Full Text Request
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