本文選題：大宗交易　切入點：二級市場　出處：《合肥工業(yè)大學(xué)》2017年碩士論文

【摘要】：大宗交易的設(shè)立是為了滿足國內(nèi)大宗股權(quán)持有者與機構(gòu)投資者的流通需求,降低對二級市場的沖擊,這種特殊性使其從設(shè)立初衷就與二級市場有著密切聯(lián)系。國內(nèi)學(xué)者關(guān)于大宗交易對二級市場股價影響的探究主要是以2008年“指導(dǎo)意見”實施以來股份制改革所引發(fā)的“大小非”大宗交易事件為研究對象。隨著股權(quán)分置改革基本完成,證監(jiān)會于2014年正式廢止“指導(dǎo)意見”,并進一步降低大宗交易門檻,這意味著大宗交易市場的交易主體發(fā)生了變化。本文正是基于此背景,研究新政策下大宗交易事件對二級市場股價的影響機理,一方面豐富國內(nèi)大宗交易的研究成果,為提高證券交易市場的運作效率提供理論支持;另一方面通過深入分析證券交易在兩市場間的信息傳導(dǎo)機制,有助于改善證券市場信息不對稱現(xiàn)象,促進資本市場健康發(fā)展。本文選取了2014年4月15日至2016年4月15日的大宗交易作為研究樣本,運用事件研究方法檢驗大宗交易對二級市場股價的影響,得出以下結(jié)論:(1)大宗交易對二級市場的股價產(chǎn)生顯著影響,且二級市場對大宗買入的價格反應(yīng)在短期內(nèi)更為明顯,對大宗賣出后的長期價格反應(yīng)較大;(2)二級市場對牛市中大宗買入的價格反應(yīng)較強,而對熊市時大宗賣出的短期價格反應(yīng)更大;(3)二級市場以機構(gòu)席位的大宗買入反應(yīng)更大;(4)二級市場對β較高行業(yè)的大宗交易事件的短期價格反應(yīng)較大;(5)創(chuàng)業(yè)板的大宗交易事件對二級市場的價格影響較大。此外,本文還進一步研究了大宗交易價格反應(yīng)的影響因素,并得到以下結(jié)果:(1)折溢價水平、大宗交易的相對成交量與大宗買入后短期累計異常收益率顯著正相關(guān)。(2)折溢價水平與成交量同大宗賣出后的累計異常收益均不顯著。最后本文針對研究結(jié)果提出加大理性投資知識的普及力度,加強證券市場監(jiān)管,降低大宗交易門檻,鼓勵機構(gòu)投資者參與的政策建議。
[Abstract]:The establishment of bulk trading is to meet the circulation needs of domestic bulk equity holders and institutional investors and reduce the impact on the secondary market. This particularity makes it closely related to the secondary market from its original intention.The research on the influence of bulk trading on the stock price in the secondary market is mainly focused on the "big and small" bulk trading events caused by the stock system reform since the implementation of the "guiding opinion" in 2008.As the split reform was largely completed, the regulator formally scrapped the guidance in 2014 and lowered the threshold for bulk trading further, meaning a change in the main body of trading in the bulk trading market.Based on this background, this paper studies the influence mechanism of the bulk trading events on the secondary market stock price under the new policy. On the one hand, it enriches the research results of the domestic bulk trading, and provides theoretical support for improving the efficiency of the securities trading market.On the other hand, it is helpful to improve the information asymmetry phenomenon and promote the healthy development of the capital market by deeply analyzing the information transmission mechanism between the two markets.From April 15, 2014 to April 15, 2016, this paper uses the event study method to test the impact of bulk trading on the secondary market stock price.Come to the following conclusion: 1) bulk trading has a significant impact on the share price of the secondary market, and the price response of the secondary market to bulk buying is even more evident in the short term.The secondary market is more responsive to the price of large purchases in the bull market.The short term price response to the bulk selling in the bear market is greater than that in the secondary market. (the secondary market has a bigger buying response with institutional seats.) the short term price response of the secondary market to the bulk trading events in the higher 尾 industries is larger than that of the gem.Transaction events have a greater impact on the prices of the secondary market.In addition, the paper further studies the influencing factors of the price response of bulk trading, and obtains the following results: 1 / 10%) discount premium level.The relative trading volume of bulk trading is significantly positively correlated with the short-term cumulative abnormal yield after buying.) the discount premium level and the volume of trading volume are not significant as well as the cumulative abnormal returns after bulk sale.Finally, this paper puts forward some policy suggestions to strengthen the popularization of rational investment knowledge, strengthen the supervision of securities market, lower the threshold of bulk trading and encourage the participation of institutional investors.
【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】：2017
【分類號】：F832.51

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