大小非解禁對(duì)股東財(cái)富效應(yīng)的短期影響研究
發(fā)布時(shí)間：2019-01-05 04:09
【摘要】：股權(quán)分置改革是中國(guó)證券市場(chǎng)上影響最為深遠(yuǎn)的一項(xiàng)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(lái)不能上市流通的限售股逐漸獲得了流通權(quán)。但是,改革設(shè)計(jì)之初,對(duì)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(quán)分置改革的遺留問(wèn)題。2006年6月17日,三一重工作為第一家試點(diǎn)公司拉開(kāi)了大小非解禁的序幕,從此股改限售股陸續(xù)進(jìn)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(jí)市場(chǎng),打破了股票市場(chǎng)的供求平衡,股市面臨巨大的擴(kuò)容壓力,這在一定程度上影響了我國(guó)股票市場(chǎng)的健康穩(wěn)定發(fā)展。從個(gè)體股民到機(jī)構(gòu)投資者,股東的財(cái)富在大小非解禁前后必定會(huì)受到不同程度的影響,如何對(duì)大小非解禁進(jìn)行分析和鑒定并找到應(yīng)對(duì)策略,成為了當(dāng)前的一個(gè)重要任務(wù)。本文在總結(jié)前人對(duì)大小非解禁的研究基礎(chǔ)之上,采用理論與實(shí)證相結(jié)合、定性與定量相結(jié)合的方法,從大小非解禁的由來(lái)、歷程、規(guī)模以及對(duì)整個(gè)股市的理論影響出發(fā),對(duì)大小非解禁的現(xiàn)狀進(jìn)行分析,并選擇285家大小非解禁的上市公司進(jìn)行短期股東財(cái)富效應(yīng)的研究。 短期股東財(cái)富效應(yīng)是指證券市場(chǎng)各種因素引起股價(jià)發(fā)生波動(dòng)而給股東帶來(lái)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(jìn)行大小非解禁的A股上市公司作為研究樣本,首先運(yùn)用事件研究方法計(jì)算累計(jì)超額收益率,分市場(chǎng)對(duì)大小非解禁前后的股東財(cái)富效應(yīng)進(jìn)行研究,并建立多元回歸模型,使用SPSS軟件進(jìn)行描述性統(tǒng)計(jì)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(duì)股東財(cái)富效應(yīng)的影響。研究得出以下結(jié)論：(1)大小非解禁日前,整體市場(chǎng)的樣本股票的財(cái)富效應(yīng)為負(fù),證明市場(chǎng)受消息效應(yīng)和市場(chǎng)預(yù)期的影響強(qiáng)烈；解禁后,市場(chǎng)逐步消化了不良預(yù)期和恐慌心理,股價(jià)重新回到正常水平。(2)大小非解禁對(duì)個(gè)股的財(cái)富效應(yīng)影響不一。(3)從整體上看,大小非解禁對(duì)樣本股票的超額收益存在正效應(yīng),影響結(jié)果好于市場(chǎng)預(yù)期。(4)回歸分析發(fā)現(xiàn),大小非解禁比例(RATIO)與股東財(cái)富存在負(fù)相關(guān)關(guān)系,說(shuō)明大小非解禁規(guī)模對(duì)股東財(cái)富產(chǎn)生負(fù)面沖擊。同時(shí),大小非解禁的財(cái)富效應(yīng)受整體經(jīng)濟(jì)形勢(shì)和市場(chǎng)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(gè)角度提出了相關(guān)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(xué)位授予單位】：中南林業(yè)科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51
本文編號(hào)：2401245
[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(xué)位授予單位】：中南林業(yè)科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51
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