The Suspension World of the China A-Shares Market

28 Pages Posted: 26 Jun 2018

See all articles by Eddie Pong

Eddie Pong

Rivermap Quantitative Research

Date Written: May 29, 2018

Abstract

This paper aims to study the suspension features of the China A-shares market and the results will be useful for market participants who carry out China A-shares investment and portfolio management. A comprehensive review is first carried out to study the properties of different types of suspension events with a focus on their occurrence frequency and duration. The empirical findings illustrate that the suspension length has been increasing in general and prolonged suspension is still an issue in the China A-shares market. Next we investigate how suspension occurrence is related to stock fundamental attributes and the results are useful for estimating the suspension probability of individual stocks. It is demonstrated that stocks with smaller size, less attractive valuation, higher volatility and past history of more frequent suspensions are more likely to experience future suspension. Another focus of this research is to evaluate the effectiveness of the stock trading suspension system in the China A-shares market by studying the volatility, return and trading pattern around the suspension window. The empirical results suggest that the stock suspension system is a semi-effective process.

Keywords: China A-shares, Portfolio Management, Stock Trading Suspension

JEL Classification: G14, G18

Suggested Citation

Pong, Eddie, The Suspension World of the China A-Shares Market (May 29, 2018). Available at SSRN: https://ssrn.com/abstract=3193954 or http://dx.doi.org/10.2139/ssrn.3193954

Eddie Pong (Contact Author)

Rivermap Quantitative Research ( email )

Hong Kong

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