【摘要】：股權(quán)分置是指我國(guó)股票市場(chǎng)上存在的流通股與非流通股分裂的現(xiàn)象,2005年4月29日,經(jīng)國(guó)務(wù)院批準(zhǔn),我國(guó)股權(quán)分置改革試點(diǎn)工作正式啟動(dòng)。這是我國(guó)股票市場(chǎng)的一次重大制度改革,它解禁了市場(chǎng)上三分之二的非流動(dòng)股,這必然對(duì)證券市場(chǎng)造成沖擊。國(guó)內(nèi)學(xué)術(shù)界對(duì)股改的研究主要集中于對(duì)價(jià)水平及股東權(quán)益保護(hù)方面,本文選擇金融市場(chǎng)視角,直接通過數(shù)據(jù)來分析股改信息給股市帶來的影響。本文選取股票流動(dòng)性及收益波動(dòng)性兩個(gè)角度,采用投資組合的方法,通過對(duì)不同市場(chǎng)的考察,來分析股改這一事件的前期、中期、后期,市場(chǎng)換手率、非流動(dòng)性以及收益率方差的變化情況。采用平權(quán)和加權(quán)的方法,來考察創(chuàng)業(yè)板的成立對(duì)平均收益率方差變化的影響程度。研究發(fā)現(xiàn),換手率與市值無關(guān),非流動(dòng)性和收益率方差與市值負(fù)相關(guān)；市值大的股票流動(dòng)性高于市值小的股票,其收益波動(dòng)性小于市值小的股票；股改前、中、后期,股票換手率逐漸提高,非流動(dòng)性顯著減小；股改使得短期內(nèi)股票的平均收益波動(dòng)率降低,但長(zhǎng)期內(nèi)由于新上市公司的加入,特別是創(chuàng)業(yè)板股票的加入,股票平均收益波動(dòng)率出現(xiàn)略微上升的現(xiàn)象�？偟膩碚f,股權(quán)分置改革顯著提高了股市的流動(dòng)性,降低了股市的收益波動(dòng)性,且這些改善都具有長(zhǎng)期有效性。
[Abstract]:Split share structure refers to the split between tradable and non-tradable shares in the stock market in China. On April 29, 2005, with the approval of the State Council, the pilot work of split share structure reform in China was officially started. This is a major institutional reform in China's stock market, which has lifted the ban on 2/3 non-current shares in the market, which is bound to impact the securities market. Domestic academic circles mainly focus on the consideration level and the protection of shareholders' rights and interests. This paper chooses the financial market perspective to analyze the impact of stock reform information on the stock market directly through the data. This article selects stock liquidity and return volatility two angles, adopts the investment portfolio method, through the inspection to the different market, analyzes the stock reform this event early, the medium, the later, the market turnover rate, Changes in illiquidity and yield variance. The influence of the establishment of the gem on the variance of the average return is investigated by using the method of equal weight and weight. The study found that turnover rate has nothing to do with market capitalization, while illiquidity and variance of return are negatively correlated with market capitalization. The liquidity of stocks with large market capitalization is higher than that of stocks with small market capitalization, and its return volatility is less than that of stocks with small market capitalization. The stock turnover rate gradually increases, and the illiquidity decreases significantly. The stock reform reduces the volatility of the average return of the stock in the short term, but in the long run, due to the entry of the new listed companies, especially the gem stock, The stock average return volatility appears the phenomenon that rises slightly. On the whole, the split share structure reform has significantly increased the liquidity of the stock market and reduced the volatility of the stock market returns, and these improvements have long-term validity.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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