证券分析师跟进与证券流动性关系研究

发布时间：2018-03-07 18:32

本文选题：证券分析师跟进　切入点：信息披露质量　出处：《江西财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国证券市场自上世纪九十年代初建立以来,已经历二十余年的发展。据统计,截止2012年底,境内累积共有2621家上市公司(其中A股2516家,B股105家),沪深两市共成交311151.77亿元,其中上交所交易额为163415.50亿元,深交所交易额为147736.27亿元①。目前,证券市场已深刻地影响着国民经济和人民日常生活。证券市场的迅猛发展,使其在调整产业结构,完善公司内外部治理及优化资源配置、丰富人民生活等方面发挥着不可或缺的作用。但是从我国证券市场的发展历程中可以看出,我国证券市场的成长并非是一帆风顺的。有研究指出,我国证券市场自2007年以后,证券价格单日波动次数显著上升,且通过分析上证指数发现跌幅超过5%的天数多达24天,而涨幅超过5%的天数仅为10天②,正是我国证券市场的跌多涨少的怪象,导致广大投资者对证券市场的信心日益下降。学术界纷纷从信息角度分析这种“跌多涨少”,但研究结果的解释力差强人意。于是有些学者开始从证券流动性的角度研究这种怪象,并且取得了一些成果。证券流动性是证券市场的核心,也是证券市场一切(O'Hara,2003)。理论上流动性越好的证券,其交易成本也就会越低,其价格受到外部单笔交易的影响也就越小。因此投资者偏好于流动性好的证券,其在资本市场上资源配置效率也就越高。证券市场发展的关键在于维持良好的证券流动性,而信息作为市场效率的灵魂,对证券流动性的影响无时不有、无处不在。上市公司作为资本市场信息发布主体,其发布信息的质量深刻影响着投资者的决策,而作为信息的补充发布者与“鉴证者”的中介,如证券分析师在信息发布方面也扮演着重要角色。随着我国证券市场的快速发展,各种信息充斥着资本市场,证券分析师在跟进上市公司时向充满“噪声”的市场所发布的信息能否影响证券流动性?以何种方式影响证券流动性?能否影响上市公司的信息披露质量?对这些问题的研究有利于我国证券市场流动性的改善与证券分析师行业的发展。现有研究大都集中在上市公司信息披露质量对证券流动性之间的影响,或者是证券分析师某些行(如证券分析师跟进)为对证券流动性的影响。很少综合研究分析证券分析师跟进、信息披露质量、与证券流动性三者之间的关系。因此对证券分析师跟进、信息披露质量与证券流动性三者之间的关系开展研究显得尤为重要。本文以证券分析师跟进对证券流动性的影响为主题,在进行系统地理论分析和实证检验之后,积极探讨证券分析师跟进对证券流动性的作用,即证券分析师跟进能否影响证券流动性,以何种方式影响证券流动性。结合我国制度背景及研究现状,本文采用Ahimud模型估算我国证券流动性,运用实证研究方法研究证券分析师跟进对证券流动性的影响。笔者首先采用文献回顾与逻辑演绎等方法从理论上分析证券分析师跟进对证券流动性的影响,同时发现证券分析师跟进与信息披露质量存在着密切的关系。结合前人对信息披露质量与证券流动性关系的研究,论文假设证券分析师跟进对证券流动性的影响存在直接与间接路径,即证券分析师跟进—证券流动性；证券分析师跟进—信息披露质量—证券流动性。实证研究发现,证券分析师跟进在线性回归模型与结构方程中都能够对证券流动性有着积极的影响,同时证券分析师跟进对信息披露质量在线性回归与结构方程中也显示着正的影响；信息披露质量与证券流动性在线性回归中并未显示出相关性,但在结构方程中却显示出正相关关系。通过计算证券分析师跟进对证券流动性影响的直接影响与间接影响的路径系数,笔者发现证券分析师跟进在更大的程度上直接影响着证券流动性。本文还设计了稳健性检验,进一步证明论文的实证研究的结果。本文共分为以下六个部分。引言部分主要介绍了本文的研究背景、意义以及研究思路和方法,罗列了本文的基本框架。第一章回顾了证券分析师跟进、信息披露与证券流动性三者间的有关文献研究。在对国内外现有文献系统地梳理的基础上,文章总结了现有研究的大致方向以及存在的不足,并提出相应的改进意见,作为本文的基本思路。第二章阐述了证券分析师跟进、信息披露与证券流动性关系的理论基础。本章从信息不对称、信号传递与有限理性经济人这三个假说的角度分别阐述了证券分析师对证券流动性的重要性,以及证券分析师行业的紧迫性与必然性,分析表明资本市场上的信息不对称是造成证券流动性低下的原因,必须增加资本市场上可利用的信息数量和提高上市公司信息披露质量以降低信息不对称,才能有效地实现资本市场的资源配置功能,提高证券的流动性。不仅能向资本市场直接发布信息,证券分析师还能促使上市公司发布高质量的信息,这在理论上支持了证券分析师对证券流动性直接与间接的积极影响。第三章具体分析了证券分析师跟进与信息披露质量、信息披露质量与证券流动性及证券分析师跟进与证券流动性的关系,并提出了相关假设。第四章为本文的核心,实证研究证券分析师跟进对证券流动性的影响。针对第三章提出的假设分别建立模型,并科学合理选择相关变量,以2007～2012年深交所上市交易公司数据作为初选样本开展实证研究,包括描述性统计、相关性分析和回归分析,同时设计了进一步实证检验以及稳健性检验。本文运用图标和数字对相关变量进行简要的分析,并利用相关性分析初步验证相关变量之间的关系,在此基础上开展回归分析。本文还设计了进一步检验与稳健性检验以更深入地探究上述回归结果的原因。第五章结合前文理论和实证结果,对本文的研究成果进行总结,同时指出了研究中仍存在的不足和今后的进一步研究方向。
[Abstract]:China's securities market since the establishment of the early 90s, has experienced twenty years of development. According to statistics, by the end of 2012, the cumulative domestic total of 2621 listed companies (including A shares 2516 shares, 105), Shanghai and Shenzhen two cities a total turnover of 31 trillion and 115 billion 177 million yuan, of which the Shanghai stock exchange transactions amounted to 16 trillion and 341 billion 550 million yuan the Shenzhen Stock Exchange, the transaction amounted to 14 trillion and 773 billion 627 million yuan. At present, the securities market has deeply affected the national economy and people's daily life. The rapid development of the securities market, the adjustment of industrial structure, improve the company's internal and external governance and optimize the allocation of resources, plays an indispensable role in enriching people's life. But in the development process China's securities market can be seen in China's securities market growth is not. Everything is going smoothly. studies have pointed out that China's securities market since 2007, significantly increased the stock price fluctuation and the number of single day. Through the analysis found that the Shanghai Composite Index fell more than 5% days up to 24 days, number of days or more than 5% of the only 10 days, is China's securities market rose more or less Guaixiang, lead to the majority of investors confidence in the securities market is declining. The academic circles have from the Perspective of information analysis of this "rose more or less" but the results explain. So some scholars began to study just passable from this Guaixiang securities liquidity perspective, and achieved some results.
Stock liquidity is the core of the securities market, securities market is also all (O'Hara, 2003). The better the stock flow theory, the transaction cost will be lower, its price is influenced by the external single trade is small. So the investor appetite for good fluidity of the securities in the capital market the resource allocation efficiency is higher. The key lies in the development of the securities market securities to maintain good liquidity, market efficiency and information as the soul, not the impact on stock liquidity everywhere. Listed companies as the capital market information dissemination main body, the release of information quality influences the decisions of investors. But as the information intermediary of publishers and "verification", such as securities analysts publish in terms of information also plays an important role. With the rapid development of China's securities market, a variety of information filled with capital Market information can influence the stock liquidity in securities analyst Gen Jin listed companies to fill the "noise" of the market released? In what way affect the securities liquidity? Can influence the quality of information disclosure of listed companies? Research on these problems is conducive to the development of our country to improve the liquidity of securities market and securities industry analyst the existing research is focused on the quality of information disclosure of listed companies on the impact between securities liquidity, or securities analyst for some (such as securities analyst Gen Jin) for the impact on stock liquidity. Few comprehensive analyses of the securities analyst Gen Jin, the quality of information disclosure, and the relationship between the stock liquidity three. So Gen Jin the securities analyst, research on the relationship between disclosure quality and liquidity of the stock three is particularly important.
In this paper, securities analysts following the impact on stock liquidity as the theme, after systematic theoretical analysis and empirical test, and actively explore the securities analyst to follow up the securities liquidity effect, which can influence the securities analyst following securities liquidity, the manner in which the impact of securities liquidity. Combined with the status quo of China's institutional background and research. This paper uses the Ahimud model to estimate the liquidity of China's Securities Securities analyst, using the research methods of empirical research to follow the impact on stock liquidity. The author adopts literature review and logical deduction method from the theoretical analysis of securities analysts following the impact on stock liquidity, also found that securities analysts follow up has a close relationship with the quality of information disclosure. Based on study of the quality of information disclosure and stock liquidity between the previous hypothesis securities analysts following securities There are direct and indirect paths of the impact of liquidity, namely the securities analyst following stock liquidity; securities analyst following - the quality of information disclosure of securities liquidity. The empirical study shows that securities analysts follow in linear regression and structural equation model can have a positive impact on stock liquidity, and securities analyst to follow up information the quality of disclosure in the linear regression and structural equation also showed a positive impact; the quality of information disclosure and stock liquidity in linear regression showed no correlation, but the structural equation has shown positive correlation. The path coefficients directly affect the calculation by securities analysts following the impact on stock liquidity and indirect effects. The author found that the securities analyst following in the greater extent a direct impact on stock liquidity. This paper also designs a robust test, further This paper is divided into the following six parts.
The introduction part mainly introduces the background, significance and research ideas and methods of this paper, and lists the basic framework of this article.
The first chapter reviews the relevant literature on Securities analyst following, information disclosure and stock liquidity between the three. Based on the existing literature at home and abroad systematically combing, the article summarizes the general direction of the existing research and the existing problems, and puts forward the corresponding improvement suggestions, as the basic idea of this paper.
The second chapter expounds the theoretical foundation of securities analyst following, information disclosure and the relationship between stock liquidity. This chapter from the asymmetric information, signaling and limited rationality of these three hypotheses illustrates the importance of the liquidity of securities analysts, securities analysts and industry of the urgency and necessity, analysis shows the information asymmetry in the capital market is the cause of stock liquidity is low, the capital market must increase the available information quantity and improve the quality of information disclosure of listed companies to reduce the information asymmetry, can effectively realize the resource allocation function of the capital market, improve the liquidity of securities. Not only can directly release information to the capital market, securities analysts also encourage listed companies to publish high quality information, the securities analyst on the securities liquidity of direct and indirect support in theory The positive impact.
The third chapter analyzes the relationship between securities analyst's follow-up and information disclosure quality, information disclosure quality and liquidity, and the relationship between securities analyst's follow-up and securities liquidity, and puts forward relevant assumptions.
The fourth chapter is the core of this paper, empirical research on securities analysts following the impact on stock liquidity. The third chapter puts forward the hypothesis model was established, and a scientific and reasonable selection of relevant variables to 2007~2012 years listed on the Shenzhen stock exchange trading data as the primary sample to carry out empirical research, including descriptive statistics, correlation analysis and regression analysis, at the same time the design of further empirical test and robustness test. This paper uses digital icons and a brief analysis of related variables, and using correlation analysis validated relationship between variables, on the basis of carrying out regression analysis. This paper also designed the cause of further test and robustness test to further explore the regression results.
The fifth chapter summarizes the research results based on previous theories and empirical results, and points out the shortcomings and future research directions.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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