时间：2017年6月13日 下午2:30开始

地点：邵逸夫科学馆513

题目：Trading Restriction as a Channel of Financial Contagion—Evidence from China’s Stock Market

主讲人：刘晓蕾  北京大学光华管理学院教授

主讲人简介：刘晓蕾，北京大学光华管理学院金融系主任，金融系及会计系教授。她在美国罗切斯特大学获得博士学位，其学术论文曾多次获得国内外奖项，包括安子介国际贸易研究奖，美国西南金融协会最佳博士论文奖，美国西部金融协会最佳公司金融论文奖及亚洲金融协会最优论文奖等。她现在担任学术期刊金融管理（Financial Management）的副主编（Associate Editor）。她的论文曾发表于许多国际顶级学术期刊，包括政治经济学杂志（Journal of Political Economy)、金融杂志 (Journal of Finance)、金融经济杂志(Journal of Financial Economics)、金融研究评论 (Review of Financial Studies)、货币经济学杂志(Journal of Monetary Economics) , 管理科学(Management Science), 及国际金融研究 等。她的研究领域为金融市场及公司金融，近些年致力于中国问题研究。在加入光华前，刘教授曾任教于香港科技大学，并取得终身教职（tenure）。

Abstract: During June 15 to July 10, 2015, the Chinese stock market fell by over 32 percent, wiping out over US$3.5 trillion in three weeks. This paper examines the role played by trading restrictions, including price limits and trading suspension in crisis contagion during the crash. Because of these restrictions, the trading of many over-valued bubble stocks was stopped. Examining data on mutual funds’ stock portfolios and stock trading, we document that as funds faced huge redemption pressure, they were forced to sell tradable stocks that were fairly valued. Furthermore, funds with negative flows sold more than others, and they liquidated more stocks on the main board. Using the stock-fund combined data, we also show that a tradable stock was more likely to be sold if its major holders were exposed to a larger proportion of non-trading stocks in their portfolio. Moreover, for these stocks, both returns and trading volumes decline significantly, activity which could be driven by a consensus on the stocks being heavily sold.