大股东增减持行为的市场效应研究

发布时间：2018-03-21 06:07

本文选题：大股东　切入点：增减持　出处：《合肥工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：自股权分置改革以来，中国股市已逐步开启了一个全流通时代。在股权分置时期的非流通股股东大多掌握着公司的经营决策权和重要价值信息，这些大股东在股权全流通的大背景下，其市场行为以及由此产生的市场效应就成为了市场各界关注的热点问题，也成为学者们探讨的焦点问题之一。本文以大股东增减持行为为研究核心，对大股东增减持行为市场效应的影响机理、市场效应强烈程度的影响因素、典型投资者对增减持事件的反应方式等问题进行理论分析和实证检验，在此基础上进行总结并提出相关对策。根据研究主题及目的，综合运用规范分析法、理论研究法、比较分析法及实证研究法，选取2006年-2012年所有有效数据，对不同持股主体、不同市场环境下的增减持状况进行分析，将基金行为（典型机构投资者）与大股东增减持行为结合起来进行关联研究，利用事件研究法，选取累积超额收益率CAR这一指标分别对大股东增减持的市场效应进行衡量，得到增减持市场效应的规律及特征，运用多元回归分析法来检验减持引起市场效应强烈程度的影响因素。其研究的主要内容及创新性的工作如下： (1)从理论与实证两个方面探讨了大股东增减持市场效应的影响机制及其特征，由于大股东增减持行为改变了市场供求关系及投资者预期，实证结果显示增持公告后无显著的市场效应，减持实际发生时有正的财富效应，而公告后会引起市场价格压力。 (2)以增减持事件发生期重要投资者的行为作为依据，分析投资者对增减持事件的反应特征和方式，基金投资行为与大股东减持行为有一定的关联，，在2008年大熊市的背景下，大股东减持的利空因素被放大，基金大幅减仓；2009年以后，基金持仓变动平稳，同时发现基金存在有意为大股东减持接盘的可能。 (3)从上市公司本身的内在因素及大股东的减持行为本身两个方面，提出影响大股东减持市场效应强烈程度的5个因素，结果发现股权结构、公司因素及减持强度与CAR显著相关，而股价因素与成长性因素与CAR不显著相关，侧面说明了我国资本市场有效程度较低，市场受外界因素（如经济政策、货币政策、投资者心理状况及突发事件等多方面因素）影响较大。
[Abstract]:Since the reform of non-tradable shares, China's stock market has gradually opened an era of full circulation. During the period of non-tradable shares, the majority of non-tradable shareholders hold the company's management decision-making power and important value information. Under the background of the full circulation of equity, the market behavior and the market effect of these major shareholders have become the hot issues concerned by all circles of the market. This paper focuses on the behavior of increasing and decreasing the holding of large shareholders, the influence mechanism on the market effect of the behavior of increasing and decreasing the holding of large shareholders, and the factors influencing the intensity of the market effect. On the basis of theoretical analysis and empirical test, the typical investors sum up and put forward the relevant countermeasures. According to the subject and purpose of the study, the author applies the normative analysis, the theoretical research, the comparative analysis and the empirical research, and selects all the valid data from 2006 to 2012. This paper analyzes the increasing and decreasing holding status in different market environment, combines the fund behavior (typical institutional investors) with the increasing and decreasing holding behavior of large shareholders, and makes use of the event research method. The cumulative excess rate of return (CAR) is selected to measure the market effect of increasing and decreasing holding of large shareholders, and the law and characteristics of market effect of increasing or decreasing holding are obtained. Multivariate regression analysis was used to test the influence factors of the market effect caused by the reduction of holdings. The main contents and innovative work of its research are as follows:. 1) this paper discusses the influence mechanism and characteristics of the market effect of increasing and decreasing the holding of large shareholders from both theoretical and empirical aspects. The behavior of increasing and decreasing the holding of large shareholders has changed the relationship between supply and demand in the market and the expectation of investors. The empirical results show that there is no significant market effect after the announcement of the increase in holdings, and the positive wealth effect occurs when the reduction of holdings actually occurs, and the market price pressure will be caused after the announcement. (2) based on the behavior of important investors in the period of increasing and decreasing holdings, this paper analyzes the characteristics and ways of investors' reaction to the increase and decrease of holdings. The behavior of fund investment is related to the behavior of large shareholders. In the context of the big bear market in 2008, the behavior of fund investment is related to the behavior of large shareholders. The negative factor of large shareholders' reduction was amplified, and the fund reduced its position substantially. After 2009, the fund position changed steadily, and it was found that the fund had the possibility of intentionally reducing its position for the majority shareholder. 3) from the internal factors of the listed company and the reduction behavior of the large shareholders themselves, this paper puts forward five factors that influence the intensity of the market effect of the reduction of the majority shareholders. The results show that the ownership structure, the company factors and the intensity of the reduction are significantly related to the CAR. However, the stock price factor and growth factor are not significantly related to CAR, which shows that the efficiency of China's capital market is low, and the market is subject to external factors (such as economic policy, monetary policy, etc.). The investor psychology condition and the emergency and so on many aspects factor) influence is bigger.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】