本文選題：做市商制度 + 流動性�。� 參考：《北京交通大學(xué)》2017年碩士論文

【摘要】：新三板聚集了大量高新技術(shù)企業(yè),這類企業(yè)市值較小,處在快速擴(kuò)展期,融資需求較大。但由于新三板是場外交易市場,市場波動性小,每日市場的總成交量只有數(shù)億元,流動性較差。這種缺乏流動性的情況帶來的結(jié)果就是企業(yè)的公允價值無法在交易中體現(xiàn)出來,進(jìn)而無法發(fā)揮新三板市場的投融資功能,導(dǎo)致中小企業(yè)無法享受到企業(yè)掛牌新三板帶來的便利。為了解決流動性問題,在2014年8月25日,新三板做市商制度正式啟動。市場的交易方式從原先單純的協(xié)議轉(zhuǎn)讓制度進(jìn)入到協(xié)議轉(zhuǎn)讓與做市轉(zhuǎn)讓并行的雙軌制度,借此來改善整個市場的流動性和效率。本文從新三板做市制度實(shí)行后的交易數(shù)據(jù)入手,首先按照篩選標(biāo)準(zhǔn),剔除了掛牌不足一年以及交易日小于300天的企業(yè),在進(jìn)一步剔除零成交日天數(shù)大于100天的企業(yè),剩余247家企業(yè),作為實(shí)證分析樣本。其次選取樣本公司市盈率,每日做市交易產(chǎn)生的日均成交額,日換手率指標(biāo),并且通過每日開盤收盤價格的絕對值構(gòu)建一個流動性指標(biāo)來衡量流動性變化。具體而言是將對數(shù)化處理后的流動性指標(biāo)和市盈率指標(biāo),換手率指標(biāo),單股成交額指標(biāo)進(jìn)行格蘭杰因果檢驗(yàn),查驗(yàn)相互之間是否符合格蘭杰原因。之后將通過檢驗(yàn)的日單股成交額,日換手率和流動性指標(biāo)構(gòu)建一個誤差修正模型,定量分析了新三板流動性和掛牌企業(yè)市盈率、單股成交額、換手率等相關(guān)指標(biāo)的數(shù)量關(guān)系。研究結(jié)果表明,新三板市場的流動性和市場換手率、單股成交額有一定正向關(guān)系,和市盈率具有反向關(guān)系。單股成交額、換手率反映了每日買賣雙方實(shí)際完成交割股票的具體數(shù)量和市場上股票轉(zhuǎn)手買賣的頻率,能體現(xiàn)投資者對市場的參與熱情,市盈率的高低能一定程度反映市場投資者對掛牌公司的認(rèn)可程度,市盈率越高,在EPS一定的情況下,說明越受到二級市場的投資者追捧。以上三個指標(biāo),都會對市場的整體流動性產(chǎn)生影響。因此,后續(xù)在促進(jìn)新三板流動性的問題上,可以從促進(jìn)掛牌交易股票的換手,提升掛牌交易公司的盈利能力等方面來制定具體措施。
[Abstract]:New third Board gathered a large number of high-tech enterprises, such enterprises market value is small, in the period of rapid expansion, the financing needs are large. However, because the new third board is an over-the-counter market, the market volatility is small, the daily market turnover is only hundreds of millions of yuan, liquidity is poor. The result of this lack of liquidity is that the fair value of the enterprise can not be reflected in the transaction, and then can not play the role of investment and financing of the new third board market, resulting in small and medium-sized enterprises can not enjoy the convenience brought by the listing of the new third board. In order to solve the liquidity problem, on August 25, 2014, the new three-board market maker system officially launched. The transaction mode of the market moves from the simple agreement transfer system to the two-track system of the agreement transfer and the market making transfer, so as to improve the liquidity and efficiency of the whole market. This paper starts with the transaction data after the implementation of the new three-board market making system, first of all, according to the screening criteria, the enterprises listed for less than one year and the trading day less than 300 days are eliminated, and those enterprises whose days of zero transaction day are more than 100 days are further eliminated. The remaining 247 enterprises, as an empirical analysis sample. Secondly, we select the sample company's price-earnings ratio, the daily average turnover, the daily turnover ratio index, and construct a liquidity index to measure the liquidity change through the absolute value of the daily opening price. Specifically, the logarithmic treatment of liquidity index and price-earnings ratio index, turnover index, single share turnover index Granger causality test, check whether the Granger cause and effect. After that, an error correction model is constructed through the daily turnover, turnover rate and liquidity index, and quantitative analysis is made of the quantitative relationship between the new three-board liquidity and listed enterprises' price-earnings ratio, single share turnover, turnover ratio and so on. The results show that the liquidity of the new market has a positive relationship with the turnover rate of the market and the turnover of a single share, and it has a reverse relationship with the price-earnings ratio. The turnover and turnover rate of a single share reflect the actual number of shares that buyers and sellers actually complete on a daily basis and the frequency at which stocks are traded in the market, which can reflect the enthusiasm of investors for participation in the market. The price-earnings ratio can reflect the recognition degree of the listed company to a certain extent. The higher the price-earnings ratio, the more the secondary market investors pursue under the certain circumstances of EPS. The above three indicators, will have an impact on the overall liquidity of the market. Therefore, on the issue of promoting the liquidity of the new third board, we can formulate specific measures from the aspects of promoting the exchange of listed stocks and enhancing the profitability of listed trading companies.
【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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