分层制度对新三板市场流动性和波动性影响的实证研究

发布时间：2018-03-10 04:30

本文选题：新三板　切入点：分层制度　出处：《浙江工商大学》2017年硕士论文　论文类型：学位论文

【摘要】：2016年6月27日,新三板市场分层制度正式实施。流动性和波动性一直以来都是股票市场最为重要的特征,新三板市场也不例外。根据以往对美国纳斯达克市场分层制度的研究来看,学者普遍认为,新三板市场引入分层制度可以适当增加其流动性并减弱波动性。本文以3162家新三板挂牌企业为研究样本,应用2016年6月27日前后120个交易日的市场日数据。本文首先采用Amivest流动性比率和换手率测度新三板市场流动性,采用收盘价和换手率的标准差测度市场波动性。其次,本文采用DID双重差分模型实证检验分层制度对新三板市场流动性和波动性的影响。实证结果表明:(1)分层制度并未对市新三板市场流动性产生显著影响,而流通股本、流通股比例、净利润、做市商数量和合格投资者数量等因素会造成市场流动性的变化。(2)分层制度可以显著减弱新三板市场的波动性,增强其稳定性。除此之外,流通股本、流通股比例、净利润以及营收复合增长率等因素也会对市场的波动性产生影响。最后,本文结合实证结果,对新三板市场如何更好发挥分层制度的制度效果提出建议。
[Abstract]:In June 27th 2016, the new third-board market stratification system was formally implemented. Liquidity and volatility have always been the most important characteristics of the stock market. The new third board market is no exception. According to previous studies on the stratification system of the NASDAQ market in the United States, scholars generally believe that. The introduction of stratification system in the new third board market can increase its liquidity and weaken its volatility. This paper takes 3162 new third board listed companies as the research sample. In this paper, the Amivest liquidity ratio and turnover rate are used to measure the liquidity of the new third board market, and the standard deviation of closing price and turnover rate is used to measure the market volatility. This paper empirically tests the effect of stratification on the liquidity and volatility of the new third board market by using the DID double differential model. The empirical results show that the stratification system has no significant effect on the liquidity of the new third board market. Factors such as the ratio of circulating shares, net profit, the number of market makers and the number of qualified investors will result in changes in market liquidity. The stratification system can significantly reduce the volatility and enhance the stability of the new third board market. The ratio of tradable shares, net profit and the compound growth rate of revenue will also affect the volatility of the market. Finally, this paper, based on the empirical results, puts forward some suggestions on how to make better use of the system effect of the stratification system in the new third board market.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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