本文選題：大股東　切入點：增減持　出處：《合肥工業(yè)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：自股權(quán)分置改革以來，中國股市已逐步開啟了一個全流通時代。在股權(quán)分置時期的非流通股股東大多掌握著公司的經(jīng)營決策權(quán)和重要價值信息，這些大股東在股權(quán)全流通的大背景下，其市場行為以及由此產(chǎn)生的市場效應(yīng)就成為了市場各界關(guān)注的熱點問題，也成為學(xué)者們探討的焦點問題之一。本文以大股東增減持行為為研究核心，對大股東增減持行為市場效應(yīng)的影響機理、市場效應(yīng)強烈程度的影響因素、典型投資者對增減持事件的反應(yīng)方式等問題進行理論分析和實證檢驗，在此基礎(chǔ)上進行總結(jié)并提出相關(guān)對策。 根據(jù)研究主題及目的，綜合運用規(guī)范分析法、理論研究法、比較分析法及實證研究法，選取2006年-2012年所有有效數(shù)據(jù)，對不同持股主體、不同市場環(huán)境下的增減持狀況進行分析，將基金行為（典型機構(gòu)投資者）與大股東增減持行為結(jié)合起來進行關(guān)聯(lián)研究，利用事件研究法，選取累積超額收益率CAR這一指標(biāo)分別對大股東增減持的市場效應(yīng)進行衡量，得到增減持市場效應(yīng)的規(guī)律及特征，運用多元回歸分析法來檢驗減持引起市場效應(yīng)強烈程度的影響因素。 其研究的主要內(nèi)容及創(chuàng)新性的工作如下： (1)從理論與實證兩個方面探討了大股東增減持市場效應(yīng)的影響機制及其特征，由于大股東增減持行為改變了市場供求關(guān)系及投資者預(yù)期，實證結(jié)果顯示增持公告后無顯著的市場效應(yīng)，減持實際發(fā)生時有正的財富效應(yīng)，而公告后會引起市場價格壓力。 (2)以增減持事件發(fā)生期重要投資者的行為作為依據(jù)，分析投資者對增減持事件的反應(yīng)特征和方式，基金投資行為與大股東減持行為有一定的關(guān)聯(lián)，，在2008年大熊市的背景下，大股東減持的利空因素被放大，基金大幅減倉；2009年以后，基金持倉變動平穩(wěn)，同時發(fā)現(xiàn)基金存在有意為大股東減持接盤的可能。 (3)從上市公司本身的內(nèi)在因素及大股東的減持行為本身兩個方面，提出影響大股東減持市場效應(yīng)強烈程度的5個因素，結(jié)果發(fā)現(xiàn)股權(quán)結(jié)構(gòu)、公司因素及減持強度與CAR顯著相關(guān)，而股價因素與成長性因素與CAR不顯著相關(guān)，側(cè)面說明了我國資本市場有效程度較低，市場受外界因素（如經(jīng)濟政策、貨幣政策、投資者心理狀況及突發(fā)事件等多方面因素）影響較大。
[Abstract]:Since the reform of non-tradable shares, China's stock market has gradually opened an era of full circulation. During the period of non-tradable shares, the majority of non-tradable shareholders hold the company's management decision-making power and important value information. Under the background of the full circulation of equity, the market behavior and the market effect of these major shareholders have become the hot issues concerned by all circles of the market. This paper focuses on the behavior of increasing and decreasing the holding of large shareholders, the influence mechanism on the market effect of the behavior of increasing and decreasing the holding of large shareholders, and the factors influencing the intensity of the market effect. On the basis of theoretical analysis and empirical test, the typical investors sum up and put forward the relevant countermeasures. According to the subject and purpose of the study, the author applies the normative analysis, the theoretical research, the comparative analysis and the empirical research, and selects all the valid data from 2006 to 2012. This paper analyzes the increasing and decreasing holding status in different market environment, combines the fund behavior (typical institutional investors) with the increasing and decreasing holding behavior of large shareholders, and makes use of the event research method. The cumulative excess rate of return (CAR) is selected to measure the market effect of increasing and decreasing holding of large shareholders, and the law and characteristics of market effect of increasing or decreasing holding are obtained. Multivariate regression analysis was used to test the influence factors of the market effect caused by the reduction of holdings. The main contents and innovative work of its research are as follows:. 1) this paper discusses the influence mechanism and characteristics of the market effect of increasing and decreasing the holding of large shareholders from both theoretical and empirical aspects. The behavior of increasing and decreasing the holding of large shareholders has changed the relationship between supply and demand in the market and the expectation of investors. The empirical results show that there is no significant market effect after the announcement of the increase in holdings, and the positive wealth effect occurs when the reduction of holdings actually occurs, and the market price pressure will be caused after the announcement. (2) based on the behavior of important investors in the period of increasing and decreasing holdings, this paper analyzes the characteristics and ways of investors' reaction to the increase and decrease of holdings. The behavior of fund investment is related to the behavior of large shareholders. In the context of the big bear market in 2008, the behavior of fund investment is related to the behavior of large shareholders. The negative factor of large shareholders' reduction was amplified, and the fund reduced its position substantially. After 2009, the fund position changed steadily, and it was found that the fund had the possibility of intentionally reducing its position for the majority shareholder. 3) from the internal factors of the listed company and the reduction behavior of the large shareholders themselves, this paper puts forward five factors that influence the intensity of the market effect of the reduction of the majority shareholders. The results show that the ownership structure, the company factors and the intensity of the reduction are significantly related to the CAR. However, the stock price factor and growth factor are not significantly related to CAR, which shows that the efficiency of China's capital market is low, and the market is subject to external factors (such as economic policy, monetary policy, etc.). The investor psychology condition and the emergency and so on many aspects factor) influence is bigger.
【學(xué)位授予單位】：合肥工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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