我国金融业A股解禁的股价效应研究

发布时间：2018-03-04 20:33

本文选题：限售股解禁　切入点：股价效应　出处：《东华大学》2012年硕士论文　论文类型：学位论文

【摘要】：限售股是指因各种原因暂时禁止在二级市场出售的股份,解禁之后的限售股就成为流通股,可以在证券市场上自由流通。我国证券市场上存在多种形式的有限售期规定而未解禁的股份,根据其形成过程和股东性质大致可以分为股改限售股、首发限售股、增发限售股和其他限售股四种。由于我国的市场总体上还不成熟,广大投资者无论在投资的心态还是投资的技巧方面都也还很稚嫩,面对波动巨大的市场,很多投资者不能理性的做出投资决断,而投资者的不理性又进一步增加了市场的不确定性。所以虽然按照传统金融学理论,限售股解禁对市场价格不会有很大的影响。但是,在市场实际运行的过程里,我们看到在限售股解禁前后,市场价格很多时候会发生异常波动。这也就引发了对限售股解禁所带来的股价效应的深层次思考。由此,本文旨在进行传统金融与行为金融相结合的分析思路,并运用事件研究法和多元回归模型这些分析方法和分析工具,并选取我国金融行业的限售A股解禁公告为研究对象(这其中一方面是因为金融行业股本规模都比较大,其价格的波动对于整个股市的也会带来较大的影响；另一方面是因为金融行业股往往被看作是一种信心股,反映了投资者情绪的情况,研究意义突出),从而对我国金融行业限售A股解禁公告的股价效应进行波动性分析及其侧重于流动性的影响因素分析,旨在研究分析我国金融行业限售A股解禁所带来的股价异动及其影响因素,以便为我国证券市场对于金融股限售股解禁的相关制度与法律建设完善上提供一定的意见与建议,也为投资者在限售股解禁时提供一定的投资策略的建议,从而规避一定的解禁所带来的股价风险。全文共分七个部分。第一部分是绪论；第二部分是国内外相关研究情况的综述；第三部分对我国金融行业限售A股解禁的现状及特点进行了回顾和总结；第四和第五部分是全文的重点,对我国金融行业A股限售股解禁的股价效应分别进行了波动性分析及其影响因素分析,旨在分析出其股价效应的异动情况和影响因素；第六部分从市场本身与投资者两个角度提出了限售股解禁所带来的股价效应风险防范的对策,这一部分也是全文的重点之一。第七部分是全文的总结及展望。
[Abstract]:Restricted shares refer to shares that are temporarily prohibited from being sold in the secondary market for various reasons, and the restricted shares after the lifting of the ban become tradable shares. Shares that exist in various forms of limited sale period regulations in China's securities market but are not lifted, according to their forming process and shareholders' nature, can be roughly divided into restricted shares and initial restricted stocks. There are four types of additional restricted shares and other restricted stocks. As the market in our country is still immature in general, the vast number of investors are still very young in terms of their investment mentality and investment skills. They are faced with a volatile market. Many investors are unable to make rational investment decisions, and the irrationality of investors further increases the uncertainty of the market. Therefore, although according to traditional financial theory, the lifting of the restrictions on the sale of stocks will not have a significant impact on market prices. In the actual operation of the market, we see that before and after the release of restricted stocks, the market price often fluctuates, which leads to deep thinking about the stock price effect brought by the release of restricted stocks. Therefore, the purpose of this paper is to combine the traditional finance with behavioral finance, and to use the event research method and multiple regression model as analysis methods and analysis tools. And select the financial industry of China's restricted A shares release notice as the research object (this one of the financial sector because the scale of equity is relatively large, its price fluctuations will also have a greater impact on the entire stock market; On the other hand, because financial sector stocks are often seen as a kind of confidence stocks, reflecting the mood of investors, The significance of the study is prominent, so that the volatility of the stock price effect of the announcement of the release of restricted A shares in China's financial industry and the analysis of the influencing factors with particular emphasis on liquidity are carried out. The purpose of this paper is to study and analyze the stock price changes caused by the release of restricted A shares in China's financial industry and its influencing factors, in order to provide certain opinions and suggestions for the improvement of the relevant system and legal construction of the financial stocks' restricted sale in China's securities market. It also provides investors with suggestions of investment strategy to avoid the stock price risk caused by the lifting of the restrictions. The paper is divided into seven parts. The first part is the introduction; the second part is the summary of the domestic and foreign related research; the third part reviews and summarizes the current situation and characteristics of the lifting of the A-share restrictions in China's financial industry. Part 4th and 5th are the emphases of the paper. The volatility and the influencing factors of the stock price effect of China's financial industry are analyzed respectively, in order to find out the change of the stock price effect and the influencing factors. The 6th part puts forward the countermeasures of preventing the stock price effect risk caused by the release of restricted shares from two angles of market itself and investors. This part is also one of the emphases of the paper. Part 7th is the summary and prospect of the full text.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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