新三板市场股票流动性影响因素实证分析

发布时间：2018-03-27 20:51

本文选题：新三板市场　切入点：流动性　出处：《北京交通大学》2017年硕士论文

【摘要】：2013年至2016年新三板市场取得快速发展的同时也暴露出诸多问题,其中比较突出的问题之一是流动性匮乏,因其遏制了新三板市场的发展而备受学者和市场参与者的关注。因此,探究新三板市场股票流动性的影响因素及其作用机理,进而有效的降低影响流动性的不利因素具有重要的现实意义。首先,论文对新三板市场股票流动性现状进行了分析。将2014年至2016年新三板市场与沪深市场上的主板、中小板、创业板的企业数量、平均市值、日均成交量、日均成交额、日均换手率进行对比发现,新三板市场与沪深市场流动性差距悬殊;将新三板市场流动性指数与沪深市场指数进行相关性分析发现,二者有较强的正相关系,并且新三板市场流动性指数的变化趋势滞后于沪深市场指数约为1个月。其次,论文基于市场微观结构理论从交易制度、信息披露、转板制度、投资者门槛这四个方面对新三板市场股票流动性的影响因素进行了较为全面的理论分析。新三板做市商因其牌照具有稀缺性而处于垄断地位,进而导致其盈利模式发生偏差,无法充分发挥市场定价、保护投资利益、维护市场稳定的作用,新三板市场的信息披露不完善,信息披露的监管、处罚力度不足,缺乏上下有序的转板制度以及投资者门槛较高等都是降低市场流动性的关键因素。然后,论文使用多元线性逐步回归模型对新三板市场股票流动性的影响因素进行了实证分析。以2016年12月31日新三板市场上的720只挂牌公司为研究样本,根据2016年的日交易数据计算出Amivest流动性比率,并将这一比率作为流动性衡量指标,对公司股价、公司业绩、公司规模、股东信息、交易特征这5个方面的10个自变量进行多元线性逐步回归分析并得出回归方程,进而得出实证结论:影响新三板挂牌企业流动性的主要因素是区间成交量、流通股本、总资产、区间成交均价、前十大股东持股比例、销售毛利率,且影响层度依次降低,之后作者对实证结论给出了经济学解释。最后,得出论文的研究结论并提出参考性建议。理论分析中交易制度、信息披露、转板制度、投资者门槛这四个方面的因素遏制了新三板市场股票的流动性,实证分析中区间成交量、流通股本、总资产、区间成交均价、前十大股东持股比例、销售毛利率对新三板市场股票流动性有很大影响。论文结尾对包括监管层、挂牌公司以及投资者在内的市场参与者提出了参考性的建议。
[Abstract]:The rapid development of the new third board market from 2013 to 2016 has also exposed many problems, one of which is the lack of liquidity, which has attracted the attention of scholars and market participants for its containment of the development of the new third board market. It is of great practical significance to explore the influencing factors and the mechanism of stock liquidity in the new third board market, and then effectively reduce the unfavorable factors that affect the liquidity. The paper analyzes the current situation of stock liquidity in the new third board market. From 2014 to 2016, the number of enterprises, average market value, average daily turnover, daily turnover and average daily turnover of the main board, small and medium-sized board, and growth enterprise board in Shanghai and Shenzhen markets are analyzed. By comparing the daily turnover rate, we find that the liquidity gap between the new third board market and the Shanghai and Shenzhen market is wide, and the correlation analysis between the new third board market liquidity index and the Shanghai and Shenzhen market index shows that there is a strong positive relationship between the two. And the change trend of liquidity index of the new third board market lags behind that of Shanghai and Shenzhen market index for about 1 month. Secondly, based on the theory of market microstructure, the paper starts with the trading system, information disclosure and conversion system. The factors affecting the stock liquidity in the new third board market are analyzed in the four aspects of investor threshold. The new third board market makers are in a monopoly position because of the scarcity of their license plates, which leads to the deviation of their profit model. Unable to give full play to market pricing, to protect investment interests, and to maintain the role of market stability, the information disclosure of the new third board market is not perfect, the supervision of information disclosure, and the degree of punishment are insufficient, The lack of an orderly turnaround system and the high threshold for investors are key factors in reducing market liquidity. This paper uses multiple linear stepwise regression model to analyze the influencing factors of stock liquidity in the new third board market. On December 31, 2016, 720 listed companies in the new third board market are taken as the research sample. Calculate the Amivest liquidity ratio based on daily trading data for 2016, and use this ratio as a measure of liquidity for stock prices, corporate performance, company size, shareholder information, The 10 independent variables in these five aspects are analyzed by multivariate linear stepwise regression analysis and the regression equation is obtained. The empirical conclusion is that the main factors influencing the liquidity of the new third board listed enterprises are the volume of the interval trading, the circulating stock capital, the total assets, and so on. The average price of the interval transaction, the proportion of the top ten shareholders, the gross profit rate of sales, and the influence layer decrease in turn, and then the author gives an economic explanation to the empirical conclusion. The paper draws the conclusion of the paper and puts forward some suggestions for reference. The trading system, information disclosure, conversion system and investor threshold in the theoretical analysis have restrained the liquidity of the stock in the new third board market, and the volume of trading in the interval in the empirical analysis. Tradable shares, total assets, the average price of interval transactions, the proportion of the top ten shareholders, and the gross margin of sales have a great impact on the liquidity of the new third board market. Listed companies and market participants, including investors, put forward suggestions for reference.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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