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

【摘要】：2013年至2016年新三板市場取得快速發(fā)展的同時也暴露出諸多問題,其中比較突出的問題之一是流動性匱乏,因其遏制了新三板市場的發(fā)展而備受學(xué)者和市場參與者的關(guān)注。因此,探究新三板市場股票流動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性的不利因素具有重要的現(xiàn)實意義。首先,論文對新三板市場股票流動性現(xiàn)狀進(jìn)行了分析。將2014年至2016年新三板市場與滬深市場上的主板、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)行對比發(fā)現(xiàn),新三板市場與滬深市場流動性差距懸殊;將新三板市場流動性指數(shù)與滬深市場指數(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,并且新三板市場流動性指數(shù)的變化趨勢滯后于滬深市場指數(shù)約為1個月。其次,論文基于市場微觀結(jié)構(gòu)理論從交易制度、信息披露、轉(zhuǎn)板制度、投資者門檻這四個方面對新三板市場股票流動性的影響因素進(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,無法充分發(fā)揮市場定價、保護(hù)投資利益、維護(hù)市場穩(wěn)定的作用,新三板市場的信息披露不完善,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檻較高等都是降低市場流動性的關(guān)鍵因素。然后,論文使用多元線性逐步回歸模型對新三板市場股票流動性的影響因素進(jìn)行了實證分析。以2016年12月31日新三板市場上的720只掛牌公司為研究樣本,根據(jù)2016年的日交易數(shù)據(jù)計算出Amivest流動性比率,并將這一比率作為流動性衡量指標(biāo),對公司股價、公司業(yè)績、公司規(guī)模、股東信息、交易特征這5個方面的10個自變量進(jìn)行多元線性逐步回歸分析并得出回歸方程,進(jìn)而得出實證結(jié)論:影響新三板掛牌企業(yè)流動性的主要因素是區(qū)間成交量、流通股本、總資產(chǎn)、區(qū)間成交均價、前十大股東持股比例、銷售毛利率,且影響層度依次降低,之后作者對實證結(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、投資者門檻這四個方面的因素遏制了新三板市場股票的流動性,實證分析中區(qū)間成交量、流通股本、總資產(chǎn)、區(qū)間成交均價、前十大股東持股比例、銷售毛利率對新三板市場股票流動性有很大影響。論文結(jié)尾對包括監(jiān)管層、掛牌公司以及投資者在內(nèi)的市場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)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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