限售股解禁的市场效应与影响因素研究——基于事件研究法和沪深300指数样本

发布时间：2018-11-03 16:40

【摘要】：以大小非为主的限售股解禁对A股市场究竟有无冲击?冲击程度多大?存在怎样的时间节点规律?解禁类型、解禁规模与市场环境等因素对解禁效应有无影响?本文拟采用事件研究法给予实证。基于2006年以来的沪深300指数成分股解禁样本,结果证实:限售股解禁的市场冲击效应主要在解禁前得以反应,尤以解禁当日和之前3个交易日的冲击效应最为明显;分组检验的结果除进一步证实解禁事件的冲击效应提前反应外,还表明限售股解禁类型(大小非还是大小限)、解禁规模(大于10%还是小于10%)以及市场环境(牛市阶段还是熊市阶段)等因素并没有造成解禁效应的显著性差异。多元回归分析在控制相关变量的基础上进一步丰富扩展了这一结论。文章还发现高估值的个股限售股解禁的冲击效应相对较小,并认为这与A股市场"强者恒强"的市场运行结构特征有关。
[Abstract]:Is there any impact on the A-share market after all? How strong is the impact? What is the time node rule? Do some factors, such as the type of lifting ban, the scale of lifting ban and the market environment, affect the effect of lifting prohibition? This article uses the event research method to give the demonstration. Based on the samples of Shanghai and Shenzhen 300 index stocks released since 2006, the results show that the market impact effect of the release of restricted stocks is mainly reflected before the lifting of the ban, especially on the day and three trading days before the lifting of the ban. The results of the grouping test not only further confirm the pre-reaction of the impact effect of the lifting of the ban, but also indicate that the type of release of restricted shares (the size is not or the size limit), The scale of lifting ban (> 10% or less than 10%) and market environment (bull stage or bear stage) did not cause significant difference in the effect of lifting prohibition. Multiple regression analysis further enriches this conclusion on the basis of controlling related variables. It is also found that the impact effect of the release of restricted stocks at high valuation is relatively small, and it is considered that this is related to the characteristics of the market operation structure of the "strong and strong" market in the A-share market.
【作者单位】：华南师范大学经济与管理学院;招商银行广州分行;
【分类号】：F832.51

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