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

二、主講人：劉曉蕾，北京大學光華管理學院金融系主任，金融系及會計系教授。她在美國羅切斯特大學獲得博士學位，研究領域為金融市場及公司金融，近些年緻力于中國問題研究。其學術論文曾多次獲得國内外獎項，包括安子介國際貿易研究獎、美國西南金融協會最佳博士論文獎、美國西部金融協會最佳公司金融論文獎及亞洲金融協會最優論文獎等。現在擔任學術期刊Financial Management的副主編。曾在許多國際頂級學術期刊發表論文，包括Journal of Political Economy、Journal of Finance、Journal of Financial Economics、Review of Financial Studies、Journal of Monetary Economics、Management Science等。在加入北大光華前，她曾任教于香港科技大學，并取得終身教職。

三、時間：2017年6月14日（周三），12:30-13:30

四、地點：學院南路校區主教學樓910會議室

五、主持人：姜富偉，bevictor伟德官网副教授

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.