本文選題：大宗交易　切入點(diǎn)：二級(jí)市場(chǎng)　出處：《南京大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：大宗交易是證券交易市場(chǎng)的特殊交易機(jī)制,是對(duì)證券市場(chǎng)普通交易機(jī)制的補(bǔ)充,也是市場(chǎng)微觀結(jié)構(gòu)理論要研究的重要部分。大宗交易制度、交易機(jī)制和交易系統(tǒng)產(chǎn)生的原因之一就是大宗交易的市場(chǎng)影響成本很大,給市場(chǎng)帶來了巨大波動(dòng)。本文希望通過研究大宗交易對(duì)二級(jí)市場(chǎng)股票價(jià)格的影響,一方面豐富相關(guān)的實(shí)證研究,另一方面也為我國(guó)大宗交易的發(fā)展和完善提供參考。本文主要采用的研究方法是事件研究和多元回歸分析。本文的研究結(jié)果表明：買方驅(qū)動(dòng)與賣方驅(qū)動(dòng)大宗交易表現(xiàn)出不對(duì)稱的價(jià)格效應(yīng)；不同折溢價(jià)和成交量對(duì)價(jià)格沖擊影響不同；主板、創(chuàng)業(yè)板和中小板市場(chǎng)對(duì)大宗交易的反應(yīng)存在差異。 在大宗交易對(duì)股票價(jià)格沖擊的影響因素方面,本文研究發(fā)現(xiàn)大宗交易前股票累計(jì)超額收益與買方驅(qū)動(dòng)、創(chuàng)業(yè)板、中小板以及指數(shù)3天平均收益正相關(guān)。永久性影響和暫時(shí)性影響方面,折溢價(jià)率與價(jià)格沖擊的影響正相關(guān)；相對(duì)成交量與價(jià)格沖擊的影響負(fù)相關(guān)；且對(duì)價(jià)格的沖擊表現(xiàn)為暫時(shí)性影響。在不同板塊表現(xiàn)方面,三個(gè)板塊的暫時(shí)性沖擊和永久性沖擊受折價(jià)率和成交量的影響方向和程度也不同。最后,本文從完善大宗交易機(jī)制和加強(qiáng)大宗交易有效的市場(chǎng)監(jiān)管方面提出了政策建議。
[Abstract]:Bulk trading is a special trading mechanism in the securities market, a supplement to the ordinary trading mechanism in the securities market, and an important part of the market microstructure theory. One of the reasons for the trading mechanism and trading system is that the market impact cost of bulk trading is very high, which brings huge volatility to the market. This paper hopes to study the impact of bulk trading on the secondary market stock prices. On the one hand, rich empirical research, On the other hand, it also provides a reference for the development and perfection of bulk trading in China. The main research methods used in this paper are event study and multiple regression analysis. The results of this study show that: buyer driven and seller driven bulk trading. Showing asymmetric price effect; Different discount premiums and trading volume have different effects on the price shock, and the main board, the growth enterprise board and the small and medium-sized market have different reactions to the bulk trading. In terms of the factors that affect the impact of bulk trading on stock prices, this paper finds that the cumulative excess returns of stocks before bulk trading and buyer driven, gem, In terms of permanent and temporary effects, the discount premium rate is positively correlated with the impact of price shocks, and the relative turnover is negatively correlated with the impact of price shocks. And the impact on the price is temporary. In terms of the performance of different plates, the temporary impact and the permanent impact of the three plates are also affected by the discount rate and the trading volume in different directions and degrees. Finally, This paper puts forward some policy suggestions from perfecting the bulk trading mechanism and strengthening the effective market supervision of bulk trading.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1595319