中国创业板限售股解禁效应研究

发布时间：2018-02-09 21:37

本文关键词： IPO限售股解禁价差分解逆向选择信息不对称　出处：《暨南大学》2012年硕士论文　论文类型：学位论文

【摘要】：股改限售股解禁成为A股市场进入熊市的导火索，首发限售股解禁为创业板市场投资者带来了风险。目前，创业板首批上市公司的控股股东限售股即将过了三年的限售期。因此，无论从总结目前限售股解禁存在的问题出发，或是基于为投资者更好地应对控股股东限售股解禁提供参考，研究限售股解禁效应都具有重要的现实意义。本文以金融市场微观结构理论为基础，以深圳创业板股票分笔高频数据为样本，运用价差分解模型(MRR，1997)计算逆向选择成分，以此作为衡量市场信息不对称的指标，并选取异常收益率、异常成交量为衡量指标，从微观层次分析了限售股解禁对股票价格、交易量、及信息不对称的影响。研究结果显示，在解禁前，股票的异常收益率显著为负，成交量没有显著变化；解禁后，股票的异常收益率显著为正，，异常成交量显著增大。解禁后，逆向选择成本显著下降。文章进一步根据抑价率、发行市盈率、市场周期和股票价格这四个因素对样本分别进行分组，研究在不同的子样本里限售股解禁对逆向选择成本的影响。最后本文在对实证结果进行总结的基础上，试图从改革发行制度、退市制度、以及完善监管制度三个方面提出政策建议。
[Abstract]:The lifting of the ban on the reform of restricted stocks has become the trigger for the A share market to enter the bear market. The lifting of the ban on the IPO of restricted shares has brought risks to investors in the gem market. At present, The controlling shareholders of the first batch of listed companies on the gem are about to pass the three-year restricted selling period. Therefore, from the point of view of summarizing the problems existing in lifting the ban on restricted shares at present, Or in order to provide a reference for investors to deal with the restrictions on controlling shareholders, it is of great practical significance to study the effect of lifting the restrictions. Based on the financial market microstructure theory, this paper calculates the adverse selection component by using the high frequency data of Shenzhen gem stock market, and applies the spread decomposition model (MRR1997) to calculate the adverse selection component, which is used as an index to measure the asymmetry of market information. By selecting abnormal return rate and abnormal trading volume as the measurement index, this paper analyzes the influence of the lifting of restricted stock on stock price, trading volume and information asymmetry from the micro level. The results show that the abnormal return rate of stocks is significantly negative before the lifting of the ban, and the volume of turnover does not change significantly. After the lifting of the ban, the abnormal return rate of stocks is significantly positive, and the abnormal trading volume increases significantly. The cost of reverse selection is significantly reduced. The sample is further grouped according to the four factors of underpricing, price / earnings ratio, market cycle and stock price. This paper studies the effect of the release of restricted shares on the cost of reverse selection in different subsamples. Finally, on the basis of summarizing the empirical results, this paper tries to put forward policy recommendations from three aspects: reforming the issuing system, delisting the market, and perfecting the supervision system.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】