限售股解禁减持前后股价波动差异研究

发布时间：2018-01-05 15:25

本文关键词：限售股解禁减持前后股价波动差异研究　出处：《中国海洋大学》2013年硕士论文　论文类型：学位论文

【摘要】：2005年开始，，我国证券市场掀起了股权分置改革的高潮，市场基本格局发生了较大的变化，截止到2006年底，参与股改的上市公司达到795家，占所需股改公司总数的97.8%。作为股改的最后一个环节，限售股解禁成为近几年股市的独特风景，大量限售股的解禁流通也给股票市场带来了巨大的影响。本文的研究目的是探究限售股解禁减持前后股价波动的差异，验证限售股解禁减持是否是造成股票市场价格波动的主要因素。限售股解禁减持改变了市场供给，这种供给冲击对股票市场价格造成什么样的影响，以及应该如何应对大量限售股解禁减持所带来的冲击效应，是本文研究的核心内容。本文首先对股票市场和限售股解禁减持的概念及理论基础进行了梳理分析，阐述了股票定价理论和限售股股东减持股份的主要动机。其次，对股票市场发展现状和限售股解禁减持现状进行了统计分析，并指出在发展的过程中存在的主要问题。再次，对限售股解禁前后股市价格波动进行了实证研究，利用1991年1月1日至2012年12月31日的上证指数收益率代表股市价格的波动，研究了限售股解禁出现前后对股市波动造成的影响，利用多元线性回归模型分析了影响股市价格波动的主要因素。最后，利用2007年1月至2012年12月的样本数据实证分析了限售股解禁减持对股票市场价格的冲击效应，根据研究结论提出了几点降低限售股解禁减持对股票市场价格冲击影响的政策建议。通过实证分析发现，我国股权分置改革产生的限售股解禁问题给股票市场价格波动造成了一定的影响：限售股解禁减持的出现使得我国股票市场存在明显的杠杆效应，负面冲击引起的股价波动比相同程度的正面冲击引起的股市波动更大，解禁产生后股市很难在短期内消除异常波动对其带来的冲击。从股票市场的高风险伴随高收益角度来讲，限售股解禁减持造成了股市收益率波动的下降，表明我国股票市场风险的下降，而风险下降意味着股票市场价格补偿下降，进而引起股市价格的降低。利用2007年1月至2012年12月的样本数据研究了限售股解禁减持对股市价格的冲击效应，发现限售股解禁减持会造成股市供给增加，对当期股市价格造成显著的负影响。根据向量自回归模型和脉冲响应函数的结果可以看出：限售股解禁数量对股市的影响从滞后二期开始产生负的冲击，但限售股减持数量对股市的冲击在滞后一期开始就比较明显。从总体上来说，限售股解禁减持都将会对股市价格造成负的影响，虽然限售股减持数量比解禁数量小很多，但是从对股市价格的冲击效应来讲，限售股减持对股市的影响更为显著。
[Abstract]:The beginning of 2005, China's securities market started the reform of non tradable shares climax, changed the basic pattern of the market, by the end of 2006, to participate in the share reform of listed companies reached 795, accounting for 97.8%. of the total number of shares required, as the last part of the reform, the unique scenery of restricted shares lifted a recent in the stock market, a large number of restricted shares lifted the circulation also brought huge impact of the stock market.
The purpose of this study is to explore the difference in reduction of restricted shares lifted after the stock price volatility, verify whether the reduction of restricted shares is the main factors causing the fluctuation of stock price. Restricted shares lifted holdings to change the market supply, the supply shock, what kind of impact on the price of the stock market, as well as how to deal with a large number of restricted shares held by the impact reduction effect, is the core content of this paper.
Firstly, the stock market and the restricted shares reduction to the concept and theoretical basis were combing, mainly expounds the motivation of stock pricing theory and limit the sale of shares to shareholders holdings of shares. Secondly, the status quo and development of the stock market limited ban the sale of shares to reduce the status of the statistical analysis, and points out the existing problems in the process of development. Thirdly, to limit the sale of shares lifted after the price volatility of the stock market for the empirical research, from January 1, 1991 to December 31, 2012 the Shanghai stock index returns on behalf of the stock market price fluctuations, the restricted shares lifted the influence on stock market volatility before and after the regression analysis of the main factors affecting the price volatility of the stock market by using multivariate linear analysis. Finally, the restricted shares reduction effect on the stock market price by empirical sample data from January 2007 to December 2012, root According to the research conclusions, some suggestions are put forward to reduce the impact of the reduction and reduction of the restricted stock on the price impact of the stock market.
The empirical analysis shows that China's share reform has restricted shares lifted has caused some influence to the stock market price volatility: restricted shares lifted reduction makes the emergence of China's stock market has obvious leverage effect of volatility in the stock market, stock price volatility caused by the negative impact than positive impact of the same degree even more, the lifting of the ban after the stock market is difficult to eliminate the impact of abnormal fluctuations in the short term. From the stock market of high risk with high earnings perspective, restricted shares reduction caused a decline in the stock market volatility, showed a decreased risk of stock market in China, which means the stock market risk reduction the price of compensation decreased, which caused lower stock prices.
Study on the reduction of restricted shares lifted on the impact effect of stock price by using the sample data from January 2007 to December 2012, found that the restricted shares lifted holdings will cause the stock market to increase the supply, resulting in a significant negative impact on the current stock price. According to the VAR model and impulse response function results can be seen: the effect of limited ban the sale of shares the number of stocks from the lag phase two began to have a negative impact, but the impact on the sale of shares on the stock market in a number of lag stage is more obvious. In general, restricted shares lifted reduction will cause a negative impact on the stock price, although the restrictions on the sale of shares number smaller than the number of lifting the ban, but the impact on stock price, limit the sale of shares to reduce the impact on the stock market is more significant.

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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