股票大宗交易对隐性交易成本的影响

发布时间：2018-01-02 15:37

本文关键词：股票大宗交易对隐性交易成本的影响　出处：《浙江大学》2012年硕士论文　论文类型：学位论文

【摘要】：自深交所在2002年2月25日,上交所于2003年1月10日推出证券市场大宗交易制度以来,我国开始了对证券大宗交易的规范化和市场化探索。随着我国证券市场机构投资者的比例快速上升,市场大宗交易活跃度日趋加强,资本市场中涌现了许多大额股份转让和各种兼并收购现象。特别是中国证监会于2008年4月为了限制股东转让持有的解除限售存量股份,颁布了《上市公司解除限售存量股份转让指导意见》,规定未来一个月内出售的解除限售存量股超过公司股份总数的1%的,必须通过证券大宗交易系统进行转让交易。大宗交易系统的成交在政策刺激下迅速活跃,截止2010年底,沪深两市共发生股票、基金和债券大宗交易11234笔,累计发生交易金额3.95×106亿元。大宗交易作为一种发展时间不长的交易模式正逐渐在我国证券市场受到投资者的重视和青睐。本文以从市场微观结构角度研究股票大宗交易对隐性交易成本及其组成成分产生的影响,并找出对隐性交易成本有影响的大宗交易自身特征因素为研究目的,以沪深300指数样本股2008年到2010年的大宗交易数据作为样本,采用Tick分类法,将大宗交易分类为大宗买入(755笔)和大宗卖出(1205笔),共计大宗交易样本1960笔。本文首先将每个交易日交易时间均分为8个时间段,基于大宗交易盘后交易的特点,计算出样本股大宗交易发生当日和后一交易日各时段有效买卖价差Z,然后用LSB模型把有效买卖价差分解为信息不对称成分λ、指令处理成分Y和指令持续成分θ,再用配对样本均值T检验和Wilcoxon符号秩检验对交易当日和后一交易日Z和λ、γ、θ进行均值比较,发现大宗买入后一交易日开盘阶段(9：30-10：00和10：00-10：30两个时段)的Z值显著减小,Z的组成成分λ和γ显著减小,0显著增大；大宗卖出后一交易日开盘后一定时间内(9：30-10：00,10：00-10：30,10：30-11：00三个时段)的Z值显著增大,Z的组成成分γ显著增大,λ和θ都未发生显著变化。在确定大宗交易对Z有影响的前提下,用大宗买卖的自身特征因素指标溢折价率Price,相对成交量Volume和哑变量买卖双方营业部Place作为解释变量,同时控制样本股总市值LnSize和换手率LnTurnover,对受大宗交易显著影响时段的Z值进行回归,得到大宗买入情况下,Z值与Price和Volume负相关；大宗卖出情况下,Z值与Price和Volume正相关；而无论大宗买入还是大宗卖出情况下,Z值与Place均无显著性关系的结论。本文在总结实证研究结论的基础上,最后针对性地对我国股票大宗交易制度的设计和改进提出了若干建议。
[Abstract]:Since the Shenzhen Stock Exchange since February 25, 2002, the Shanghai Stock Exchange launched in January 10, 2003 block trading system of securities market, China began to stock block trading and market standardization. With the exploration of institutional investors in China's securities market rapidly rising proportion of commodity trading market activity is gradually strengthened, in the capital market, the emergence of a number of large transfer of shares and the phenomenon of mergers and acquisitions. Especially Chinese Commission in April 2008 to limit the transfer of shareholder holding the lifting of restrictions on sale of shares of stock, issued "listed companies to lift restrictions on sale of shares of stock transfer guidance", the provisions of the future sale within one month of the lifting of restrictions on sale of shares of stock of more than 1% of the total number of shares of the company, must transfer through the securities trading block trading system. The bulk trading system rapid turnover is active in the policy stimulus, by the end of 2010, the Shanghai and Shenzhen two city issued a total of students There are 11234 transactions in stocks, funds and bonds. The total transaction volume is 3.95 yuan and 10 billion 600 million yuan. Block trading, as a developing transaction mode, is attracting more and more attention from investors in China's stock market.
In order to study the bulk trading of shares from the point of view of market microstructure effects on implicit transaction cost and its components are produced, and find out the block trading has effect on the characteristics of implicit transaction cost factors as the research objective, the Shanghai and Shenzhen 300 Index constituent stocks in 2008 to block trading data in 2010 as samples, using Tick classification method, the classification of large transactions for the bulk purchase (755) and sold the bulk (1205 pen), a total of 1960 pen large transactions samples. Firstly, each trading day is divided into 8 periods, characteristics of bulk trading after the transaction based on the calculated stocks of large transactions occurred that day and the day after each period of the effective spread of Z then, using the LSB model to the effective spread into information asymmetry component lambda, instruction processing components of Y and instruction and sustained component theta, paired sample mean T test and Wilc Oxon signed rank test of the trading day and the day after Z and lambda, gamma, theta mean comparison, found a trading day after the opening stage of block purchases (9:30-10:00 and 10:00-10:30 two hours) the Z value decreased significantly, and the composition of lambda gamma Z decreased significantly, 0 increased significantly; a large amount sold a trading day after the opening of a certain period of time (9:30-10:00,10:00-10:30,10:30-11:00 three times) the value of Z increased significantly and the components of gamma Z increased significantly and the lambda and theta did not change significantly. After the determination of the bulk trading have influences on Z, with its own characteristics index factors of the bulk sale premium and discount rate Price, relative volume Volume and Place sales both dummy variables as explanatory variables, while controlling the total market value of stocks of LnSize LnTurnover and the exchange rate of large transactions significantly affect the Z value of the regression time, get big In the case of buying, the value of Z associated with Price and Volume negative; sold the bulk of cases, the Z value was positively correlated with Price and Volume; and whether to buy or sell the bulk bulk case, Z value had no significant relationship with the conclusion of Place. Based on the summary of the conclusions of empirical research, finally targeted and the design of China's stock block trading system improved and put forward some suggestions.

【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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