本文關鍵詞：我國創(chuàng)業(yè)板流動性影響因素實證研究　出處：《上海師范大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 創(chuàng)業(yè)板 流動性 影響因素

【摘要】：創(chuàng)業(yè)板市場是一個國家資本市場的重要組成部分，其主要功能在于專門為具有成長性的新興中小企業(yè)開辟融資渠道和為風險投資提供退出機制。創(chuàng)業(yè)板市場在海外成熟的市場機制下，己經取得了豐富的運作經驗，但在我國卻是證券市場的創(chuàng)新。因此，中國創(chuàng)業(yè)板市場的設立，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會，，同時了伴隨著巨大的投資風險。由于創(chuàng)業(yè)板市場成立不久，且市場規(guī)模較小，發(fā)展時間較短，其股價的波動要比主板劇烈。 流動性是決定證券市場的生命力的重要因素，也是衡量市場質量的有效指標。提高市場的流動性不僅有助于活躍市場，吸引投資者，更重要的是有利于穩(wěn)定市場價格、保證金融市場的正常運轉并促進資源有效配置。不僅如此，流動性也被證明是資產價格的重要決定因素。 本文在總結國內外學者關于流動性研究的基礎上，對流動性展開理論研究，并且利用中國創(chuàng)業(yè)板市場的交易數據進行了實證研究，將該問題的理論與實證結合在一起，對其進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)板市場上市的78只A股股票為基本分析樣本，以成交價格、業(yè)績水平、公司規(guī)模、流通股股東影響力為基本分析變量，對股票市場的流動性進行多元逐步回歸分析，并得出了基本模型。 在理論與實證的基礎上，得到本文的主要結論： (1)影響股票市場流動性的主要因素有股價、每股收益和流通股本，這些變量通過逐步回歸都進入了回歸模型，而凈資產收益率、前十大股東所持股所占比例、流通股比例等因素對流動性的影響不大。 (2)股價與流動性存在著顯著的正相關性。同樣的絕對價差下，低價股的流動性成本更高，相對于高價股其流動性較差。 (3)每股收益、流通股本與流動性存在著正相關性，提高上市公司的業(yè)績水平和流通股本規(guī)模，能提高證券市場的流動性水平。
[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.
【學位授予單位】：上海師范大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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