The Impact of Stopping IPO in Shenzhen A Stock Market on Guiding Pattern of Information in China''''s Stock Markets
深市停发新股对我国股市信息引导格局的影响

From the point of view of information, this paper examines the difference of guiding pattern of information in China's stock markets before and after Shenzhen A stock market stopped IPO. We find that before IPO was stopped in Shenzhen A stock market, Shenzhen A stock returns Granger-cause Shanghai A stock market returns and return volatility unilaterally, but after stopping IPO, the relation became no statistical significance. Contrarily, Shanghai A stock market returns and return Volatility became to Granger-cause Shenzhen A stock returns remarkably. The result make clear that stopping IPO in Shenzhen A stock market from October,2000 is crucial for the status between Shenzhen and Shanghai in China's stock markets. The trend that investors abandoned Shenzhen stock market turning for Shanghai market have emerged. In addition,we also find that with the improving of China's stock market, trading volume has had predictive power for stock return and return volatility.