The Effects of Trading Suspensions in China

He, Qing and Gan, Jingyun and Wang, Shuwan and Chong, Terence Tai Leung (2018): The Effects of Trading Suspensions in China.

Abstract

We study the effects of both mandatory and voluntary trading suspensions on stock prices, volatility and trading volume in China’s stock market. It is found that both voluntary and mandatory suspensions generate negative abnormal returns. Trading volume and volatility rise significantly in the post-suspension period. Our results suggest that suspensions are not effective in calming down investors in China. Ownership structure and duration of suspension explain the ineffectiveness of suspensions.

• Item Type: MPRA Paper
• Language: English
• Keywords: Voluntary Suspensions, Mandatory Suspensions, Efficiency
• Subjects: G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing; G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation

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