發(fā)布時(shí)間：2018-03-27 20:51

  本文選題：新三板市場(chǎng)　切入點(diǎn)：流動(dòng)性　出處：《北京交通大學(xué)》2017年碩士論文

【摘要】：2013年至2016年新三板市場(chǎng)取得快速發(fā)展的同時(shí)也暴露出諸多問(wèn)題,其中比較突出的問(wèn)題之一是流動(dòng)性匱乏,因其遏制了新三板市場(chǎng)的發(fā)展而備受學(xué)者和市場(chǎng)參與者的關(guān)注。因此,探究新三板市場(chǎng)股票流動(dòng)性的影響因素及其作用機(jī)理,進(jìn)而有效的降低影響流動(dòng)性的不利因素具有重要的現(xiàn)實(shí)意義。首先,論文對(duì)新三板市場(chǎng)股票流動(dòng)性現(xiàn)狀進(jìn)行了分析。將2014年至2016年新三板市場(chǎng)與滬深市場(chǎng)上的主板、中小板、創(chuàng)業(yè)板的企業(yè)數(shù)量、平均市值、日均成交量、日均成交額、日均換手率進(jìn)行對(duì)比發(fā)現(xiàn),新三板市場(chǎng)與滬深市場(chǎng)流動(dòng)性差距懸殊;將新三板市場(chǎng)流動(dòng)性指數(shù)與滬深市場(chǎng)指數(shù)進(jìn)行相關(guān)性分析發(fā)現(xiàn),二者有較強(qiáng)的正相關(guān)系,并且新三板市場(chǎng)流動(dòng)性指數(shù)的變化趨勢(shì)滯后于滬深市場(chǎng)指數(shù)約為1個(gè)月。其次,論文基于市場(chǎng)微觀結(jié)構(gòu)理論從交易制度、信息披露、轉(zhuǎn)板制度、投資者門(mén)檻這四個(gè)方面對(duì)新三板市場(chǎng)股票流動(dòng)性的影響因素進(jìn)行了較為全面的理論分析。新三板做市商因其牌照具有稀缺性而處于壟斷地位,進(jìn)而導(dǎo)致其盈利模式發(fā)生偏差,無(wú)法充分發(fā)揮市場(chǎng)定價(jià)、保護(hù)投資利益、維護(hù)市場(chǎng)穩(wěn)定的作用,新三板市場(chǎng)的信息披露不完善,信息披露的監(jiān)管、處罰力度不足,缺乏上下有序的轉(zhuǎn)板制度以及投資者門(mén)檻較高等都是降低市場(chǎng)流動(dòng)性的關(guān)鍵因素。然后,論文使用多元線性逐步回歸模型對(duì)新三板市場(chǎng)股票流動(dòng)性的影響因素進(jìn)行了實(shí)證分析。以2016年12月31日新三板市場(chǎng)上的720只掛牌公司為研究樣本,根據(jù)2016年的日交易數(shù)據(jù)計(jì)算出Amivest流動(dòng)性比率,并將這一比率作為流動(dòng)性衡量指標(biāo),對(duì)公司股價(jià)、公司業(yè)績(jī)、公司規(guī)模、股東信息、交易特征這5個(gè)方面的10個(gè)自變量進(jìn)行多元線性逐步回歸分析并得出回歸方程,進(jìn)而得出實(shí)證結(jié)論:影響新三板掛牌企業(yè)流動(dòng)性的主要因素是區(qū)間成交量、流通股本、總資產(chǎn)、區(qū)間成交均價(jià)、前十大股東持股比例、銷售毛利率,且影響層度依次降低,之后作者對(duì)實(shí)證結(jié)論給出了經(jīng)濟(jì)學(xué)解釋。最后,得出論文的研究結(jié)論并提出參考性建議。理論分析中交易制度、信息披露、轉(zhuǎn)板制度、投資者門(mén)檻這四個(gè)方面的因素遏制了新三板市場(chǎng)股票的流動(dòng)性,實(shí)證分析中區(qū)間成交量、流通股本、總資產(chǎn)、區(qū)間成交均價(jià)、前十大股東持股比例、銷售毛利率對(duì)新三板市場(chǎng)股票流動(dòng)性有很大影響。論文結(jié)尾對(duì)包括監(jiān)管層、掛牌公司以及投資者在內(nèi)的市場(chǎng)參與者提出了參考性的建議。
[Abstract]:The rapid development of the new third board market from 2013 to 2016 has also exposed many problems, one of which is the lack of liquidity, which has attracted the attention of scholars and market participants for its containment of the development of the new third board market. It is of great practical significance to explore the influencing factors and the mechanism of stock liquidity in the new third board market, and then effectively reduce the unfavorable factors that affect the liquidity. The paper analyzes the current situation of stock liquidity in the new third board market. From 2014 to 2016, the number of enterprises, average market value, average daily turnover, daily turnover and average daily turnover of the main board, small and medium-sized board, and growth enterprise board in Shanghai and Shenzhen markets are analyzed. By comparing the daily turnover rate, we find that the liquidity gap between the new third board market and the Shanghai and Shenzhen market is wide, and the correlation analysis between the new third board market liquidity index and the Shanghai and Shenzhen market index shows that there is a strong positive relationship between the two. And the change trend of liquidity index of the new third board market lags behind that of Shanghai and Shenzhen market index for about 1 month. Secondly, based on the theory of market microstructure, the paper starts with the trading system, information disclosure and conversion system. The factors affecting the stock liquidity in the new third board market are analyzed in the four aspects of investor threshold. The new third board market makers are in a monopoly position because of the scarcity of their license plates, which leads to the deviation of their profit model. Unable to give full play to market pricing, to protect investment interests, and to maintain the role of market stability, the information disclosure of the new third board market is not perfect, the supervision of information disclosure, and the degree of punishment are insufficient, The lack of an orderly turnaround system and the high threshold for investors are key factors in reducing market liquidity. This paper uses multiple linear stepwise regression model to analyze the influencing factors of stock liquidity in the new third board market. On December 31, 2016, 720 listed companies in the new third board market are taken as the research sample. Calculate the Amivest liquidity ratio based on daily trading data for 2016, and use this ratio as a measure of liquidity for stock prices, corporate performance, company size, shareholder information, The 10 independent variables in these five aspects are analyzed by multivariate linear stepwise regression analysis and the regression equation is obtained. The empirical conclusion is that the main factors influencing the liquidity of the new third board listed enterprises are the volume of the interval trading, the circulating stock capital, the total assets, and so on. The average price of the interval transaction, the proportion of the top ten shareholders, the gross profit rate of sales, and the influence layer decrease in turn, and then the author gives an economic explanation to the empirical conclusion. The paper draws the conclusion of the paper and puts forward some suggestions for reference. The trading system, information disclosure, conversion system and investor threshold in the theoretical analysis have restrained the liquidity of the stock in the new third board market, and the volume of trading in the interval in the empirical analysis. Tradable shares, total assets, the average price of interval transactions, the proportion of the top ten shareholders, and the gross margin of sales have a great impact on the liquidity of the new third board market. Listed companies and market participants, including investors, put forward suggestions for reference.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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