本文選題：大股東增持 + 市場(chǎng)效應(yīng)　； 參考：《西安電子科技大學(xué)》2012年碩士論文

【摘要】：大股東增持是指上市公司大股東從股票二級(jí)市場(chǎng)自主購(gòu)買上市公司股票的行為,是一種在我國(guó)股票市場(chǎng)上較為常見(jiàn)的股權(quán)管理方式。大股東作為企業(yè)的內(nèi)部人具有普通投資者不具有的信息優(yōu)勢(shì),因此大股東增持,尤其是大規(guī)模的大股東增持勢(shì)必對(duì)股票市場(chǎng)產(chǎn)生重大影響。深入了解我國(guó)大股東增持的相關(guān)特征,對(duì)今后我國(guó)證券市場(chǎng)的穩(wěn)定發(fā)展,對(duì)政府相關(guān)職能部門、大股東和中小投資者都是一種有益的參考。 本文分析了我國(guó)股票市場(chǎng)中發(fā)生的三次大規(guī)模的大股東增持,并對(duì)這三次大股東增持的相關(guān)特征進(jìn)行了實(shí)證分析。本文以2005-2011年間我國(guó)股票市場(chǎng)中發(fā)生大股東增持的266家上市公司498次增持公告作為研究對(duì)象,對(duì)我國(guó)上市公司大股東增持的公告日市場(chǎng)效應(yīng)進(jìn)行了分析研究。研究表明,上市公司第一大股東或者控股股東發(fā)布股份增持公告,會(huì)導(dǎo)致公司股價(jià)在公告日上漲,并且公告日該公司股票的漲幅與大股東的增持動(dòng)機(jī)有關(guān),自然人大股東增持比國(guó)有性質(zhì)大股東進(jìn)行增持公告日的平均漲幅更大。實(shí)證分析同時(shí)表明,大股東增持前的持股比例與大股東增持的公告日市場(chǎng)效應(yīng)成負(fù)相關(guān)關(guān)系,即大股東增持前持股比例越高,增持的市場(chǎng)短期效應(yīng)越不明顯；上市公司大股東在同一輪增持中,如果多次發(fā)布大股東增持公告,大股東增持的短期市場(chǎng)效應(yīng)與大股東增持公告的次數(shù)顯著負(fù)相關(guān)。 本文以2005-2009年間我國(guó)股票市場(chǎng)中發(fā)生大股東增持的181家上市公司作為研究對(duì)象,進(jìn)一步探討了我國(guó)股票市場(chǎng)中承諾期超額收益的問(wèn)題,實(shí)證研究表明,我國(guó)上市公司大股東增持承諾期存在超額收益,上市公司大股東增持承諾期超額收益率與上市公司大股東增持承諾期時(shí)長(zhǎng)顯著正相關(guān)；自然人大股東增持的平均承諾期超額收益率比國(guó)有性質(zhì)大股東增持的平均承諾期超額收益率更高。這些結(jié)論對(duì)深入了解我國(guó)上市公司大股份的增持行為及影響有現(xiàn)實(shí)意義。
[Abstract]:The behavior of the majority shareholders buying the listed company's shares independently from the secondary stock market is a relatively common equity management method in the stock market of our country.Large shareholders as insiders of enterprises have information advantages that ordinary investors do not have, so large shareholders increase their holdings, especially large scale large shareholders increase their holdings, which is bound to have a significant impact on the stock market.It is a useful reference for the stable development of our country's securities market, the government's relevant functional departments, the large shareholders and the small and medium investors to understand the relevant characteristics of the large shareholders' increasing holdings in our country.This paper analyzes the three large shareholder increases in China's stock market, and makes an empirical analysis of the characteristics of these three large shareholder increases.The research shows that the announcement of the first largest shareholder or controlling shareholder of a listed company will cause the share price of the company to rise on the announcement day, and the increase of the company's stock on the announcement date is related to the motivation of the majority shareholders to increase their holdings.Natural-person large shareholders increase than state-owned large shareholders to increase the average increase on the date of announcement.At the same time, the empirical analysis shows that the proportion of stock before the increase of large shareholders is negatively related to the market effect of the announcement day of the increase of the majority shareholder, that is, the higher the proportion of the stock before the increase of the majority shareholder, the less obvious the short-term effect of the increase in the market.In the same round of increase, if the large shareholders issue the announcement of increasing the holding of large shareholders, the short-term market effect of increasing the holding of large shareholders is negatively correlated with the times of the announcement of increasing the holding of large shareholders.In this paper, 181 listed companies in China's stock market with large shareholders increasing their holdings from 2005 to 2009 are taken as the research objects, and the problem of excess returns in the commitment period in China's stock market is further discussed. The empirical study shows that,There are excess returns in the commitment period of large shareholders of listed companies in our country. The excess returns of large shareholders in the commitment period of listed companies are significantly positively correlated with the length of the commitment period of increasing holding of large shareholders of listed companies.The average excess rate of return of large shareholders of natural persons in the commitment period is higher than that of the large shareholders of state-owned nature.These conclusions are of practical significance for further understanding of the behavior and influence of the large shares of listed companies in China.
【學(xué)位授予單位】：西安電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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