Study on Market Reaction of A-share Market Trade Suspension Events Based on Different Investment Subjects

Abstract

In the paper, the event study method is adopted. 317 trade suspension events of Ashare market from 2012 to 2016 are regarded as samples. Three sub-samples of industrial capital, insurance fund and private equity are further selected for theoretical analysis and empirical research on short-term market reaction from trade suspension events under different investment subjects. The research results show that trade suspension behaviors can produce significantly positive cumulative excess return in the short term. The short-term market reaction produced from different types of trade suspension events are different, wherein private equity fund trade suspension leads to the strongest market reaction, 10%-18% significantly positive cumulative excess return can be produced in [0, 20] event period; it is followed by insurance fund trade suspension, and investors can obtain 8%-12% significantly positive accumulated excess return in [0, 11] event period. However, the market from the industrial capital trade suspension is embodied as follows in a concentrated mode: significantly positive cumulative excess return can be produced in the [2,3] event period, and the market reaction is not significant in other periods.