本文選題：限售股解禁　切入點(diǎn)：股價效應(yīng)　出處：《東華大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：限售股是指因各種原因暫時禁止在二級市場出售的股份,解禁之后的限售股就成為流通股,可以在證券市場上自由流通。我國證券市場上存在多種形式的有限售期規(guī)定而未解禁的股份,根據(jù)其形成過程和股東性質(zhì)大致可以分為股改限售股、首發(fā)限售股、增發(fā)限售股和其他限售股四種。由于我國的市場總體上還不成熟,廣大投資者無論在投資的心態(tài)還是投資的技巧方面都也還很稚嫩,面對波動巨大的市場,很多投資者不能理性的做出投資決斷,而投資者的不理性又進(jìn)一步增加了市場的不確定性。所以雖然按照傳統(tǒng)金融學(xué)理論,限售股解禁對市場價格不會有很大的影響。但是,在市場實(shí)際運(yùn)行的過程里,我們看到在限售股解禁前后,市場價格很多時候會發(fā)生異常波動。這也就引發(fā)了對限售股解禁所帶來的股價效應(yīng)的深層次思考。 由此,本文旨在進(jìn)行傳統(tǒng)金融與行為金融相結(jié)合的分析思路,并運(yùn)用事件研究法和多元回歸模型這些分析方法和分析工具,并選取我國金融行業(yè)的限售A股解禁公告為研究對象(這其中一方面是因?yàn)榻鹑谛袠I(yè)股本規(guī)模都比較大,其價格的波動對于整個股市的也會帶來較大的影響；另一方面是因?yàn)榻鹑谛袠I(yè)股往往被看作是一種信心股,反映了投資者情緒的情況,研究意義突出),從而對我國金融行業(yè)限售A股解禁公告的股價效應(yīng)進(jìn)行波動性分析及其側(cè)重于流動性的影響因素分析,旨在研究分析我國金融行業(yè)限售A股解禁所帶來的股價異動及其影響因素,以便為我國證券市場對于金融股限售股解禁的相關(guān)制度與法律建設(shè)完善上提供一定的意見與建議,也為投資者在限售股解禁時提供一定的投資策略的建議,從而規(guī)避一定的解禁所帶來的股價風(fēng)險。 全文共分七個部分。第一部分是緒論；第二部分是國內(nèi)外相關(guān)研究情況的綜述；第三部分對我國金融行業(yè)限售A股解禁的現(xiàn)狀及特點(diǎn)進(jìn)行了回顧和總結(jié)；第四和第五部分是全文的重點(diǎn),對我國金融行業(yè)A股限售股解禁的股價效應(yīng)分別進(jìn)行了波動性分析及其影響因素分析,旨在分析出其股價效應(yīng)的異動情況和影響因素；第六部分從市場本身與投資者兩個角度提出了限售股解禁所帶來的股價效應(yīng)風(fēng)險防范的對策,這一部分也是全文的重點(diǎn)之一。第七部分是全文的總結(jié)及展望。
[Abstract]:Restricted shares refer to shares that are temporarily prohibited from being sold in the secondary market for various reasons, and the restricted shares after the lifting of the ban become tradable shares. Shares that exist in various forms of limited sale period regulations in China's securities market but are not lifted, according to their forming process and shareholders' nature, can be roughly divided into restricted shares and initial restricted stocks. There are four types of additional restricted shares and other restricted stocks. As the market in our country is still immature in general, the vast number of investors are still very young in terms of their investment mentality and investment skills. They are faced with a volatile market. Many investors are unable to make rational investment decisions, and the irrationality of investors further increases the uncertainty of the market. Therefore, although according to traditional financial theory, the lifting of the restrictions on the sale of stocks will not have a significant impact on market prices. In the actual operation of the market, we see that before and after the release of restricted stocks, the market price often fluctuates, which leads to deep thinking about the stock price effect brought by the release of restricted stocks. Therefore, the purpose of this paper is to combine the traditional finance with behavioral finance, and to use the event research method and multiple regression model as analysis methods and analysis tools. And select the financial industry of China's restricted A shares release notice as the research object (this one of the financial sector because the scale of equity is relatively large, its price fluctuations will also have a greater impact on the entire stock market; On the other hand, because financial sector stocks are often seen as a kind of confidence stocks, reflecting the mood of investors, The significance of the study is prominent, so that the volatility of the stock price effect of the announcement of the release of restricted A shares in China's financial industry and the analysis of the influencing factors with particular emphasis on liquidity are carried out. The purpose of this paper is to study and analyze the stock price changes caused by the release of restricted A shares in China's financial industry and its influencing factors, in order to provide certain opinions and suggestions for the improvement of the relevant system and legal construction of the financial stocks' restricted sale in China's securities market. It also provides investors with suggestions of investment strategy to avoid the stock price risk caused by the lifting of the restrictions. The paper is divided into seven parts. The first part is the introduction; the second part is the summary of the domestic and foreign related research; the third part reviews and summarizes the current situation and characteristics of the lifting of the A-share restrictions in China's financial industry. Part 4th and 5th are the emphases of the paper. The volatility and the influencing factors of the stock price effect of China's financial industry are analyzed respectively, in order to find out the change of the stock price effect and the influencing factors. The 6th part puts forward the countermeasures of preventing the stock price effect risk caused by the release of restricted shares from two angles of market itself and investors. This part is also one of the emphases of the paper. Part 7th is the summary and prospect of the full text.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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