我国新三板市场交易离散构件与市场质量研究

发布时间：2018-01-02 06:21

本文关键词：我国新三板市场交易离散构件与市场质量研究　出处：《天津财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：2013年1月16日,全国中小企业股份转让系统(NEEQ)正式揭牌运营,这标志着我国新三板市场正式步入全国场外市场规范化运行阶段。但中关村试点6年以来,新三板市场交易一直极其清淡,甚至相当数量公司全年无交易。2013年2月8日,《业务规则》对原交易制度进行了相关修改,其中将最小交易单位减少为1000股,最小报价单位设为0.01元／股。本文将对交易制度中的交易离散构件这一方面进行深入研究,采用事件研究法,实证分析调整前后的最小交易单位对市场质量流动性、波动性及有效性三方面的影响作用,进而对降低最小交易单位的政策合理性进行评价。以提高市场质量为目标,进一步结合我国新三板市场的现状,为最小交易单位和最小报价单位的合理设置建立相关理论依据,并提出政策建议。实证结果显示,最小交易单位的减少会提高交易活跃度,使日成交量和月内交易日率小幅增加,提高市场流动性并降低股票价格波动性,促进股票价值提高,而对市场有效性的改善效果不显著。同时,对于最小交易单位的减少,交易活跃的大股票和交易清淡的小股票对其反应存在差异。随着最小交易单位的下降,交易清淡的小股票流动性下降,而价格波动提高,进而导致股票价值下降。作为交易离散构件的另一组成部分,最小报价单位的设定应与市场中交易者的类型相匹配,最小报价单位的降低有利于小额交易投资者,而对机构投资者不利。在我国新三板市场股票交易活跃度不足的背景下,减少最小交易单位并不能明显改善市场质量,与此同时,由于市场投资者进入门槛仍较高,主要以机构投资者为主,故可适当提高最小报价单位以提高市场深度。
[Abstract]:In January 16th 2013, the National small and Medium-sized Enterprises share transfer system (NEEQ) was officially unveiled and operated. This indicates that China's new third board market formally entered the national over-the-counter market standardized operation stage, but Zhongguancun pilot 6 years, the new third board market transactions have been extremely light. Even a considerable number of companies have no trading throughout the year. In February 8th 2013, the rules of Business made relevant changes to the original trading system, which reduced the minimum trading unit to 1, 000 shares. The minimum quotation unit is set as 0.01 yuan / share. In this paper, the transaction discrete components in the trading system will be deeply studied, and the event study method will be adopted. Empirical analysis before and after the adjustment of the minimum trading units on the market quality liquidity, volatility and effectiveness of the impact of three aspects. Then it evaluates the rationality of the policy of reducing the minimum trading units, aiming at improving the quality of the market, and further combines the current situation of the new third board market in our country. Establish the relevant theoretical basis for the reasonable setting of minimum trading units and minimum quotation units, and put forward policy recommendations. The empirical results show that the reduction of minimum trading units will improve the trading activity. Make the daily turnover and the rate of trading day increase slightly, improve the liquidity of the market and reduce the volatility of stock prices, promote the value of stocks, but the effectiveness of the improvement of the effectiveness of the market is not significant. At the same time. For the reduction of the smallest trading units, there are differences in the reaction of the large stocks with active trading and the small stocks with light trading. With the decline of the smallest trading units, the liquidity of the small stocks with light trading drops. As another component of discrete trading component, the minimum quotation unit should be set to match the type of trader in the market. The reduction of the minimum quotation unit is beneficial to the small trading investors, but not to the institutional investors. Under the background of the lack of stock trading activity in the new third board market of our country. Reducing the minimum trading units can not significantly improve the quality of the market, at the same time, because the entry threshold of market investors is still high, mainly institutional investors. Therefore, you can appropriately improve the minimum quotation units to improve the depth of the market.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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