本文關(guān)鍵詞： IPO限售股 解禁 價(jià)差分解 逆向選擇 信息不對(duì)稱　出處：《暨南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：股改限售股解禁成為A股市場(chǎng)進(jìn)入熊市的導(dǎo)火索，首發(fā)限售股解禁為創(chuàng)業(yè)板市場(chǎng)投資者帶來(lái)了風(fēng)險(xiǎn)。目前，創(chuàng)業(yè)板首批上市公司的控股股東限售股即將過(guò)了三年的限售期。因此，無(wú)論從總結(jié)目前限售股解禁存在的問(wèn)題出發(fā)，或是基于為投資者更好地應(yīng)對(duì)控股股東限售股解禁提供參考，研究限售股解禁效應(yīng)都具有重要的現(xiàn)實(shí)意義。 本文以金融市場(chǎng)微觀結(jié)構(gòu)理論為基礎(chǔ)，以深圳創(chuàng)業(yè)板股票分筆高頻數(shù)據(jù)為樣本，運(yùn)用價(jià)差分解模型(MRR，1997)計(jì)算逆向選擇成分，以此作為衡量市場(chǎng)信息不對(duì)稱的指標(biāo)，并選取異常收益率、異常成交量為衡量指標(biāo)，從微觀層次分析了限售股解禁對(duì)股票價(jià)格、交易量、及信息不對(duì)稱的影響。 研究結(jié)果顯示，在解禁前，股票的異常收益率顯著為負(fù)，成交量沒(méi)有顯著變化；解禁后，股票的異常收益率顯著為正，，異常成交量顯著增大。解禁后，逆向選擇成本顯著下降。文章進(jìn)一步根據(jù)抑價(jià)率、發(fā)行市盈率、市場(chǎng)周期和股票價(jià)格這四個(gè)因素對(duì)樣本分別進(jìn)行分組，研究在不同的子樣本里限售股解禁對(duì)逆向選擇成本的影響。 最后本文在對(duì)實(shí)證結(jié)果進(jìn)行總結(jié)的基礎(chǔ)上，試圖從改革發(fā)行制度、退市制度、以及完善監(jiān)管制度三個(gè)方面提出政策建議。
[Abstract]:The lifting of the ban on the reform of restricted stocks has become the trigger for the A share market to enter the bear market. The lifting of the ban on the IPO of restricted shares has brought risks to investors in the gem market. At present, The controlling shareholders of the first batch of listed companies on the gem are about to pass the three-year restricted selling period. Therefore, from the point of view of summarizing the problems existing in lifting the ban on restricted shares at present, Or in order to provide a reference for investors to deal with the restrictions on controlling shareholders, it is of great practical significance to study the effect of lifting the restrictions. Based on the financial market microstructure theory, this paper calculates the adverse selection component by using the high frequency data of Shenzhen gem stock market, and applies the spread decomposition model (MRR1997) to calculate the adverse selection component, which is used as an index to measure the asymmetry of market information. By selecting abnormal return rate and abnormal trading volume as the measurement index, this paper analyzes the influence of the lifting of restricted stock on stock price, trading volume and information asymmetry from the micro level. The results show that the abnormal return rate of stocks is significantly negative before the lifting of the ban, and the volume of turnover does not change significantly. After the lifting of the ban, the abnormal return rate of stocks is significantly positive, and the abnormal trading volume increases significantly. The cost of reverse selection is significantly reduced. The sample is further grouped according to the four factors of underpricing, price / earnings ratio, market cycle and stock price. This paper studies the effect of the release of restricted shares on the cost of reverse selection in different subsamples. Finally, on the basis of summarizing the empirical results, this paper tries to put forward policy recommendations from three aspects: reforming the issuing system, delisting the market, and perfecting the supervision system.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)期刊論文 前1條

1 馮荷英;;非流通股解禁對(duì)股市的影響研究[J];金融經(jīng)濟(jì);2012年24期

本文編號(hào)：1498917