本文關(guān)鍵詞：我國(guó)創(chuàng)業(yè)板流動(dòng)性影響因素實(shí)證研究　出處：《上海師范大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：創(chuàng)業(yè)板市場(chǎng)是一個(gè)國(guó)家資本市場(chǎng)的重要組成部分，其主要功能在于專(zhuān)門(mén)為具有成長(zhǎng)性的新興中小企業(yè)開(kāi)辟融資渠道和為風(fēng)險(xiǎn)投資提供退出機(jī)制。創(chuàng)業(yè)板市場(chǎng)在海外成熟的市場(chǎng)機(jī)制下，己經(jīng)取得了豐富的運(yùn)作經(jīng)驗(yàn)，但在我國(guó)卻是證券市場(chǎng)的創(chuàng)新。因此，中國(guó)創(chuàng)業(yè)板市場(chǎng)的設(shè)立，將不可避免地面臨著一系列重大挑戰(zhàn)。創(chuàng)業(yè)板為投資者提供高收益的機(jī)會(huì)，，同時(shí)了伴隨著巨大的投資風(fēng)險(xiǎn)。由于創(chuàng)業(yè)板市場(chǎng)成立不久，且市場(chǎng)規(guī)模較小，發(fā)展時(shí)間較短，其股價(jià)的波動(dòng)要比主板劇烈。 流動(dòng)性是決定證券市場(chǎng)的生命力的重要因素，也是衡量市場(chǎng)質(zhì)量的有效指標(biāo)。提高市場(chǎng)的流動(dòng)性不僅有助于活躍市場(chǎng)，吸引投資者，更重要的是有利于穩(wěn)定市場(chǎng)價(jià)格、保證金融市場(chǎng)的正常運(yùn)轉(zhuǎn)并促進(jìn)資源有效配置。不僅如此，流動(dòng)性也被證明是資產(chǎn)價(jià)格的重要決定因素。 本文在總結(jié)國(guó)內(nèi)外學(xué)者關(guān)于流動(dòng)性研究的基礎(chǔ)上，對(duì)流動(dòng)性展開(kāi)理論研究，并且利用中國(guó)創(chuàng)業(yè)板市場(chǎng)的交易數(shù)據(jù)進(jìn)行了實(shí)證研究，將該問(wèn)題的理論與實(shí)證結(jié)合在一起，對(duì)其進(jìn)行了比較完整的闡述。以2010年1月1日到2012年12月31日深圳創(chuàng)業(yè)板市場(chǎng)上市的78只A股股票為基本分析樣本，以成交價(jià)格、業(yè)績(jī)水平、公司規(guī)模、流通股股東影響力為基本分析變量，對(duì)股票市場(chǎng)的流動(dòng)性進(jìn)行多元逐步回歸分析，并得出了基本模型。 在理論與實(shí)證的基礎(chǔ)上，得到本文的主要結(jié)論： (1)影響股票市場(chǎng)流動(dòng)性的主要因素有股價(jià)、每股收益和流通股本，這些變量通過(guò)逐步回歸都進(jìn)入了回歸模型，而凈資產(chǎn)收益率、前十大股東所持股所占比例、流通股比例等因素對(duì)流動(dòng)性的影響不大。 (2)股價(jià)與流動(dòng)性存在著顯著的正相關(guān)性。同樣的絕對(duì)價(jià)差下，低價(jià)股的流動(dòng)性成本更高，相對(duì)于高價(jià)股其流動(dòng)性較差。 (3)每股收益、流通股本與流動(dòng)性存在著正相關(guān)性，提高上市公司的業(yè)績(jī)水平和流通股本規(guī)模，能提高證券市場(chǎng)的流動(dòng)性水平。
[Abstract]:The gem market is an important part of a country's capital market. Its main function is to open up the financing channel and provide the exit mechanism for the venture capital specially for the growth new small and medium-sized enterprises. The gem market is under the overseas mature market mechanism. Has already obtained the rich operation experience, but in our country actually is the stock market innovation, therefore, the Chinese growth enterprise market establishment. Will inevitably face a series of major challenges. Gem provides investors with a high return opportunities, accompanied by a huge investment risk. Because the gem market is not long established, and the market size is relatively small. The development time is short, its stock price fluctuates to be more violent than the main board. Liquidity is an important factor to determine the vitality of the securities market, and also an effective indicator to measure the quality of the market. Improving the liquidity of the market is not only helpful to activate the market, but also to attract investors. More importantly, it helps to stabilize market prices, ensure the proper functioning of financial markets and promote efficient allocation of resources. Moreover, liquidity has proved to be an important determinant of asset prices. On the basis of summarizing the domestic and foreign scholars' research on liquidity, this paper makes a theoretical study on liquidity, and makes an empirical study using the transaction data of China's gem market. The theory of the problem is combined with the empirical analysis. From January 1st 2010 to December 31st 2012, 78 A-share stocks listed in the Shenzhen gem market were taken as the basic analysis samples, and the transaction price was taken as the basic analysis sample. Performance level, company size and shareholder influence of circulating shares are the basic analysis variables. The multivariate stepwise regression analysis of stock market liquidity is carried out, and the basic model is obtained. On the basis of theory and practice, the main conclusions of this paper are as follows: The main factors that affect the liquidity of the stock market are stock price, earnings per share and circulating stock capital. These variables enter the regression model through stepwise regression, while the return on net assets. The proportion of the top ten shareholders and the proportion of circulating shares have little effect on liquidity. (2) there is a significant positive correlation between stock price and liquidity. Under the same absolute price difference, the liquidity cost of low-priced stocks is higher than that of high-priced stocks. 3) there is a positive correlation between earnings per share, circulating stock capital and liquidity. To improve the performance level of listed companies and the scale of circulating stock capital, the liquidity level of securities market can be improved.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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