The Suspension World of the China A-shares Market

Two distinct features of the stock trading suspension in the China A-shares market are its frequent occurrences and long suspension duration and they represent major concerns for the China A-shares investors. Rivermap has written a research paper to facilitate an in-depth understanding of the China A-shares trading suspension. The paper aims to answer several important questions:

·        What are the main reasons contributing stock trading suspension?

·        Is prolonged suspension still an issue in the China A-shares market today?

·        What kinds of stock are more likely to have stock trading suspension?

·        Can investors exploit any post-suspension return momentum?

·        Is the China A-shares suspension trading effective in dealing information asymmetry?

The research paper provided answers to these questions using a full suspension dataset from 1999-2017. 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. Next we investigate how suspension occurrences can be explained by stock fundamental attributes and the findings are useful for estimating the suspension probability of individual stock. 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 price movement and trading activity pattern around the suspension window.

More detailed answers to these questions are provided in the research paper “The suspension world of the China A-shares market” at SSRN.