【摘要】：股權分置改革是中國證券市場上影響最為深遠的一項改革舉措,消除了流通股與非流通股在流通制度上的差異,使原來不能上市流通的限售股逐漸獲得了流通權。但是,改革設計之初,對上市公司部分股票的上市流通日期做出了限制,大小非隨之產(chǎn)生,成為股權分置改革的遺留問題。2006年6月17日,三一重工作為第一家試點公司拉開了大小非解禁的序幕,從此股改限售股陸續(xù)進入了可流通的狀態(tài)。 大小非解禁使得大量的限售股流通到二級市場,打破了股票市場的供求平衡,股市面臨巨大的擴容壓力,這在一定程度上影響了我國股票市場的健康穩(wěn)定發(fā)展。從個體股民到機構投資者,股東的財富在大小非解禁前后必定會受到不同程度的影響,如何對大小非解禁進行分析和鑒定并找到應對策略,成為了當前的一個重要任務。本文在總結前人對大小非解禁的研究基礎之上,采用理論與實證相結合、定性與定量相結合的方法,從大小非解禁的由來、歷程、規(guī)模以及對整個股市的理論影響出發(fā),對大小非解禁的現(xiàn)狀進行分析,并選擇285家大小非解禁的上市公司進行短期股東財富效應的研究。 短期股東財富效應是指證券市場各種因素引起股價發(fā)生波動而給股東帶來的額外收益。本文以2008年1月到2013年6月在滬深兩市首次進行大小非解禁的A股上市公司作為研究樣本,首先運用事件研究方法計算累計超額收益率,分市場對大小非解禁前后的股東財富效應進行研究,并建立多元回歸模型,使用SPSS軟件進行描述性統(tǒng)計和回歸,分析解禁比例、平均換手率、總資產(chǎn)、市凈率和凈資產(chǎn)收益率對股東財富效應的影響。研究得出以下結論：(1)大小非解禁日前,整體市場的樣本股票的財富效應為負,證明市場受消息效應和市場預期的影響強烈；解禁后,市場逐步消化了不良預期和恐慌心理,股價重新回到正常水平。(2)大小非解禁對個股的財富效應影響不一。(3)從整體上看,大小非解禁對樣本股票的超額收益存在正效應,影響結果好于市場預期。(4)回歸分析發(fā)現(xiàn),大小非解禁比例(RATIO)與股東財富存在負相關關系,說明大小非解禁規(guī)模對股東財富產(chǎn)生負面沖擊。同時,大小非解禁的財富效應受整體經(jīng)濟形勢和市場環(huán)境的影響顯著。文章最后,從政府監(jiān)管、公司治理和投資者三個角度提出了相關的政策建議。
[Abstract]:The reform of split share structure is one of the most far-reaching reform measures in China's securities market, which eliminates the difference between circulating shares and non-tradable shares, and makes the restricted shares that cannot be listed and circulated gradually gain the circulation right. However, at the beginning of the reform design, restrictions were made on the date of circulation of some of the shares of listed companies, and the size and size of the shares were not followed, which became a legacy of the reform of the split share structure. Sany heavy Industry as the first pilot company to open the size of the prologue of non-lifting, since then into the restricted shares into the circulation of the state. The non-lifting of the ban makes a large number of restricted stocks circulate to the secondary market, which breaks the balance of supply and demand in the stock market, and the stock market is faced with enormous pressure of expansion, which to some extent affects the healthy and stable development of the stock market in China. From individual shareholders to institutional investors, the wealth of shareholders is bound to be affected by different degrees before and after the lifting of the prohibition. How to analyze, identify and find countermeasures for the non-lifting of the prohibition has become an important task at present. On the basis of summarizing the previous researches on the non-lifting of the prohibition, this paper uses the combination of theory and practice, the combination of qualitative and quantitative methods, starting from the origin, history, scale and the theoretical impact on the whole stock market. This paper analyzes the current situation of the non-lifting of the prohibition, and selects 285 listed companies to study the effect of short-term shareholder wealth. The short-term shareholder wealth effect refers to the additional income caused by various factors in the stock market. In this paper, from January 2008 to June 2013 in Shanghai and Shenzhen stock markets for the first time in the size of non-de-banned A-share listed companies as a research sample, first of all, using the event study method to calculate the cumulative excess return rate. The paper studies the shareholder wealth effect before and after the non-lifting of the ban, establishes the multiple regression model, uses SPSS software to carry out descriptive statistics and regression, analyzes the proportion of lifting the ban, the average turnover rate, the total assets, and so on. The effect of P / E ratio and net Asset return on shareholder's Wealth effect. The conclusions are as follows: (1) the wealth effect of the sample stock in the whole market is negative before the non-lifting day, which proves that the market is strongly influenced by the news effect and the market expectation; After the lifting of the ban, the market gradually digested bad expectations and panic psychology, and the stock price returned to normal level. (2) the effect of non-lifting of the ban on the wealth of individual stocks is different. (3) overall, There is a positive effect on the excess return of the sample stock, and the effect is better than the market expectation. (4) regression analysis shows that there is a negative correlation between the size non-lifting ratio (RATIO) and shareholder wealth. It shows that the scale of non-lifting of the ban has a negative impact on shareholder wealth. At the same time, the large and small non-lifting wealth effects are significantly affected by the overall economic situation and market environment. Finally, the paper puts forward the relevant policy recommendations from the three angles of government supervision, corporate governance and investors.
【學位授予單位】：中南林業(yè)科技大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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