本文關(guān)鍵詞：股票大宗交易對隱性交易成本的影響　出處：《浙江大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 大宗交易 有效買賣價差 LSB模型 信息不對稱成分 指令處理成分 指令持續(xù)成分

【摘要】：自深交所在2002年2月25日,上交所于2003年1月10日推出證券市場大宗交易制度以來,我國開始了對證券大宗交易的規(guī)范化和市場化探索。隨著我國證券市場機構(gòu)投資者的比例快速上升,市場大宗交易活躍度日趨加強,資本市場中涌現(xiàn)了許多大額股份轉(zhuǎn)讓和各種兼并收購現(xiàn)象。特別是中國證監(jiān)會于2008年4月為了限制股東轉(zhuǎn)讓持有的解除限售存量股份,頒布了《上市公司解除限售存量股份轉(zhuǎn)讓指導(dǎo)意見》,規(guī)定未來一個月內(nèi)出售的解除限售存量股超過公司股份總數(shù)的1%的,必須通過證券大宗交易系統(tǒng)進(jìn)行轉(zhuǎn)讓交易。大宗交易系統(tǒng)的成交在政策刺激下迅速活躍,截止2010年底,滬深兩市共發(fā)生股票、基金和債券大宗交易11234筆,累計發(fā)生交易金額3.95×106億元。大宗交易作為一種發(fā)展時間不長的交易模式正逐漸在我國證券市場受到投資者的重視和青睞。 本文以從市場微觀結(jié)構(gòu)角度研究股票大宗交易對隱性交易成本及其組成成分產(chǎn)生的影響,并找出對隱性交易成本有影響的大宗交易自身特征因素為研究目的,以滬深300指數(shù)樣本股2008年到2010年的大宗交易數(shù)據(jù)作為樣本,采用Tick分類法,將大宗交易分類為大宗買入(755筆)和大宗賣出(1205筆),共計大宗交易樣本1960筆。本文首先將每個交易日交易時間均分為8個時間段,基于大宗交易盤后交易的特點,計算出樣本股大宗交易發(fā)生當(dāng)日和后一交易日各時段有效買賣價差Z,然后用LSB模型把有效買賣價差分解為信息不對稱成分λ、指令處理成分Y和指令持續(xù)成分θ,再用配對樣本均值T檢驗和Wilcoxon符號秩檢驗對交易當(dāng)日和后一交易日Z和λ、γ、θ進(jìn)行均值比較,發(fā)現(xiàn)大宗買入后一交易日開盤階段(9：30-10：00和10：00-10：30兩個時段)的Z值顯著減小,Z的組成成分λ和γ顯著減小,0顯著增大；大宗賣出后一交易日開盤后一定時間內(nèi)(9：30-10：00,10：00-10：30,10：30-11：00三個時段)的Z值顯著增大,Z的組成成分γ顯著增大,λ和θ都未發(fā)生顯著變化。在確定大宗交易對Z有影響的前提下,用大宗買賣的自身特征因素指標(biāo)溢折價率Price,相對成交量Volume和啞變量買賣雙方營業(yè)部Place作為解釋變量,同時控制樣本股總市值LnSize和換手率LnTurnover,對受大宗交易顯著影響時段的Z值進(jìn)行回歸,得到大宗買入情況下,Z值與Price和Volume負(fù)相關(guān)；大宗賣出情況下,Z值與Price和Volume正相關(guān)；而無論大宗買入還是大宗賣出情況下,Z值與Place均無顯著性關(guān)系的結(jié)論。本文在總結(jié)實證研究結(jié)論的基礎(chǔ)上,最后針對性地對我國股票大宗交易制度的設(shè)計和改進(jìn)提出了若干建議。
[Abstract]:Since the Shenzhen Stock Exchange since February 25, 2002, the Shanghai Stock Exchange launched in January 10, 2003 block trading system of securities market, China began to stock block trading and market standardization. With the exploration of institutional investors in China's securities market rapidly rising proportion of commodity trading market activity is gradually strengthened, in the capital market, the emergence of a number of large transfer of shares and the phenomenon of mergers and acquisitions. Especially Chinese Commission in April 2008 to limit the transfer of shareholder holding the lifting of restrictions on sale of shares of stock, issued "listed companies to lift restrictions on sale of shares of stock transfer guidance", the provisions of the future sale within one month of the lifting of restrictions on sale of shares of stock of more than 1% of the total number of shares of the company, must transfer through the securities trading block trading system. The bulk trading system rapid turnover is active in the policy stimulus, by the end of 2010, the Shanghai and Shenzhen two city issued a total of students There are 11234 transactions in stocks, funds and bonds. The total transaction volume is 3.95 yuan and 10 billion 600 million yuan. Block trading, as a developing transaction mode, is attracting more and more attention from investors in China's stock market.
In order to study the bulk trading of shares from the point of view of market microstructure effects on implicit transaction cost and its components are produced, and find out the block trading has effect on the characteristics of implicit transaction cost factors as the research objective, the Shanghai and Shenzhen 300 Index constituent stocks in 2008 to block trading data in 2010 as samples, using Tick classification method, the classification of large transactions for the bulk purchase (755) and sold the bulk (1205 pen), a total of 1960 pen large transactions samples. Firstly, each trading day is divided into 8 periods, characteristics of bulk trading after the transaction based on the calculated stocks of large transactions occurred that day and the day after each period of the effective spread of Z then, using the LSB model to the effective spread into information asymmetry component lambda, instruction processing components of Y and instruction and sustained component theta, paired sample mean T test and Wilc Oxon signed rank test of the trading day and the day after Z and lambda, gamma, theta mean comparison, found a trading day after the opening stage of block purchases (9:30-10:00 and 10:00-10:30 two hours) the Z value decreased significantly, and the composition of lambda gamma Z decreased significantly, 0 increased significantly; a large amount sold a trading day after the opening of a certain period of time (9:30-10:00,10:00-10:30,10:30-11:00 three times) the value of Z increased significantly and the components of gamma Z increased significantly and the lambda and theta did not change significantly. After the determination of the bulk trading have influences on Z, with its own characteristics index factors of the bulk sale premium and discount rate Price, relative volume Volume and Place sales both dummy variables as explanatory variables, while controlling the total market value of stocks of LnSize LnTurnover and the exchange rate of large transactions significantly affect the Z value of the regression time, get big In the case of buying, the value of Z associated with Price and Volume negative; sold the bulk of cases, the Z value was positively correlated with Price and Volume; and whether to buy or sell the bulk bulk case, Z value had no significant relationship with the conclusion of Place. Based on the summary of the conclusions of empirical research, finally targeted and the design of China's stock block trading system improved and put forward some suggestions.

【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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