本文關(guān)鍵詞：中國(guó)證券市場(chǎng)大宗交易信號(hào)傳遞效應(yīng)的實(shí)證研究　出處：《江西財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 大宗交易 信息不對(duì)稱(chēng) 信號(hào)傳遞

【摘要】：自1990年深圳證券交易所開(kāi)始試運(yùn)作以來(lái)，中國(guó)證券市場(chǎng)已走過(guò)了23年的發(fā)展歷程，為中國(guó)企業(yè)和經(jīng)濟(jì)體制改革、社會(huì)轉(zhuǎn)型和市場(chǎng)經(jīng)濟(jì)的發(fā)展做出了卓越的貢獻(xiàn)。但我國(guó)證券市場(chǎng)的健康發(fā)展問(wèn)題一直被人們所關(guān)注，“消息市”、“投機(jī)市”成為困擾證券市場(chǎng)發(fā)展的詬病，信息不對(duì)稱(chēng)現(xiàn)象的廣泛存在嚴(yán)重影響了市場(chǎng)交易行為和市場(chǎng)效率。大宗交易作為證券市場(chǎng)的特殊交易機(jī)制，是對(duì)普通交易機(jī)制的有益補(bǔ)充，其交易主體的特殊性，使得大宗交易平臺(tái)成為了信息優(yōu)勢(shì)方的交易場(chǎng)所，其擁有的信息顯然多于普通投資。若大宗交易能作為有效的信號(hào)傳遞方式，必然能為改善我國(guó)資本市場(chǎng)信息不對(duì)稱(chēng)現(xiàn)象、避免逆向選擇做出貢獻(xiàn)。 目前，我國(guó)學(xué)者對(duì)于大宗交易的研究多集中在大宗交易制度和大宗交易價(jià)格方面，從信號(hào)傳遞角度進(jìn)行的探討較少；且由于我國(guó)大宗交易平臺(tái)自2008年起才開(kāi)始真正活躍，至今不過(guò)五年之余，因此目前學(xué)者們對(duì)于大宗交易的大樣本分析并不多。本文對(duì)中國(guó)證券市場(chǎng)大宗交易信號(hào)傳遞效應(yīng)進(jìn)行實(shí)證研究，并選取了2008年4月20日至2012年6月31日大樣本數(shù)據(jù)進(jìn)行整體和分組分析，具有一定的理論意義和現(xiàn)實(shí)價(jià)值。 本文首先梳理了信號(hào)傳遞理論、大宗交易理論，分析了中國(guó)大宗交易制度的特點(diǎn)和現(xiàn)狀，然后以理論為基礎(chǔ)，以現(xiàn)實(shí)背景為依據(jù)提出了文章的假設(shè)，并運(yùn)用事件研究法，對(duì)我國(guó)證券市場(chǎng)大宗交易信號(hào)傳遞效應(yīng)進(jìn)行了系統(tǒng)研究和分析。筆者分別考察了（1）普通投資者對(duì)于整個(gè)市場(chǎng)大宗交易短期直觀的反應(yīng)；（2）普通投資者對(duì)于整個(gè)市場(chǎng)大宗交易中長(zhǎng)期理性的反應(yīng)；（3）普通投資者對(duì)于大宗交易中不同價(jià)格信息的反應(yīng)，得出了以下結(jié)論：（1）市場(chǎng)對(duì)于大宗交易信號(hào)的短期直觀的反應(yīng)為負(fù)，大宗交易事件后窗口期的累積異常收益率持續(xù)走低；（2）市場(chǎng)對(duì)于大宗交易信號(hào)中長(zhǎng)期理性的反應(yīng)為負(fù)，大宗交易事件后180天的累積異常收益率顯著為負(fù)，投資者對(duì)大宗交易披露信息的短期負(fù)面反應(yīng)是理性的；（3）市場(chǎng)對(duì)于不同價(jià)格分組的大宗交易反應(yīng)方向一致，即為負(fù)，且事件前后的反應(yīng)程度不同。事件日及事件日前，溢價(jià)率樣本組的異常收益率反應(yīng)顯著；事件后，折價(jià)率高的樣本組異常收益率反應(yīng)顯著；（4）中國(guó)證券市場(chǎng)大宗交易是負(fù)面信號(hào)的傳遞；（5）大宗交易事件前至事件日存在異常收益率。大宗交易市場(chǎng)中存在著信息優(yōu)勢(shì)方利用信息優(yōu)勢(shì)做出有利于自身利益的事情或者選擇更好的時(shí)點(diǎn)進(jìn)行交易的行為，大宗交易市場(chǎng)上存在著內(nèi)幕交易或市場(chǎng)操縱的嫌疑。最后，本文結(jié)合我國(guó)大宗交易的特殊背景提出對(duì)策和建議，希望能對(duì)我國(guó)證券市場(chǎng)的健康發(fā)展略進(jìn)綿薄之力。 本文對(duì)于我國(guó)證券市場(chǎng)大宗交易信號(hào)傳遞效應(yīng)的研究只是一次簡(jiǎn)單的探索，雖然在某些方面得出了一些有益的結(jié)論，但仍存在著不足。主要表現(xiàn)在：第一，，本文驗(yàn)證了中國(guó)證券市場(chǎng)大宗交易信息負(fù)指示的效應(yīng)，但由于樣本篩選限制，無(wú)法區(qū)分交易雙方的身份信息，因此無(wú)法進(jìn)一步對(duì)不同方向的“信號(hào)”進(jìn)行甄別；第二，本文未能通過(guò)合適變量的回歸分析來(lái)解釋異常收益率的來(lái)源。這些不足將成為筆者今后對(duì)該問(wèn)題進(jìn)行深入研究的方向。
[Abstract]:Since 1990, the Shenzhen Stock Exchange began trial operation, Chinese securities market has gone through 23 years of development, as Chinese enterprise and economic system reform, has made outstanding contributions to the development of society and market economy. But the healthy development of the securities market in China has been of concern to the people, "the news" "speculation" has hindered the development of the securities market are widely criticized, the existence of information asymmetry phenomenon has seriously affected the market trading behavior and market efficiency. As a special commodity trading stock market trading mechanism, is a useful supplement to the general trading mechanism, the particularity of the main transaction, the bulk trading platform has become the information superiority trading places, having information obviously than ordinary investment. If the bulk of transactions can serve as an effective way of signal transduction, must be able to improve China's capital market information Symmetry is a phenomenon that avoids the contribution of adverse selection.
At present, Chinese scholars mainly focus on the block trading block trading system and commodity trading prices, discussed from the angle of the signal transmission is less; and because of Chinese bulk trading platform since 2008 began to really active, but has more than five years, because of the current scholars for large sample block trading the analysis is not much. The bulk trading Chinese stock market signaling effect of empirical research, and from April 20, 2008 to June 31, 2012 the overall sample data and packet analysis, has a certain theoretical significance and practical value.
This paper first analyzes the signal transmission theory, block trading theory, analyses the characteristics and status of Chinese block trading system, based on the theory of the realistic background as the basis, put forward the hypothesis, and using the event study method, for the bulk of transactions in China's securities market signaling effect are researched and analyzed. The author were investigated (1) for ordinary investors short-term intuitive block trading market as a whole; (2) ordinary investors for long-term rational response to block trading market as a whole; (3) ordinary investors for different price information in large transactions, draws the following conclusions: (1) the market for bulk short-term trading signals direct response to negative events after the cumulative abnormal returns of bulk trading window period rate continued to decline; (2) the market for long-term rational response to the negative signal block trading, Block trading cumulative abnormal returns for 180 days after the incident rate is significantly negative, investors in the bulk trading information disclosure of short term negative reaction is rational; (3) the market for bulk trading price favorable response direction different groups, namely negative reaction degree and different before and after the event. The event date and event before the exception income premium rate sample rate was significantly; after the incident, the discount rate of the sample group abnormal returns high reaction rate significantly; (4) bulk trading Chinese securities market is sending a negative signal; (5) large transactions before the event to the event on the abnormal return rate. Block there is information advantage to the interests of the things or choose a better point trading behavior easily take advantage of the information market, the wholesale trading market exists for insider trading or market manipulation. At last, this article unifies our country The special background of the bulk transaction puts forward the countermeasures and suggestions, hoping to make a slight effort to the healthy development of the securities market in our country.
The study on commodity transactions in China's securities market signaling effect just a simple exploration, although in some aspects and some conclusions are obtained, but there are still shortcomings. The main features: first, this paper verified the effect of Chinese stock market a big deal of information indicating negative, but due to limited sample selection, not the identity of the two sides to distinguish between transaction information, so no further screening of different directions of the "signal"; second, we could not through regression analysis to explain the suitable variable source of abnormal returns. These problems will become the future of the in-depth research.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.5;F224

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