股票转让方式与极端收益风险——兼论新三板市场引入做市转让制度的经济后果

发布时间：2018-04-01 02:17

本文选题：做市转让　切入点：协议转让　出处：《财经研究》2017年05期

【摘要】：在极端收益风险形成机理的现有研究中,交易环节是其逻辑链条中缺失的一环;对于做市转让制度的实施效果,现有实证研究也普遍忽视了其对极端收益风险的影响。文章从交易环节入手,提出了一个解释极端收益风险形成机理的新假说,并以新三板市场引入做市转让制度为契机,实证考察了股票转让方式和极端收益风险之间的关系。研究发现:(1)与实施协议转让的股票相比,实施做市转让的股票极端收益风险显著较低,但更多的做市商并未带来显著更低的极端收益风险;(2)做市转让方式对股价暴涨风险的抑制作用在熊市中较强,对股价暴跌风险的抑制作用则在牛市中较强;(3)股票转让方式对极端收益风险的影响主要通过股票流动性路径起作用,而信息有效性路径会起作用主要是因为信息有效性和股票流动性之间的高相关性。使用处理效应模型来控制自选择偏差的影响,使用不同的极端收益风险度量指标,延长极端收益风险的计算窗口,均不改变上述实证结果。这表明,交易环节是影响极端收益风险的重要因素,做市转让方式的引入有助于降低新三板挂牌公司的极端收益风险。文章对于深入理解极端收益风险形成机理、改善新三板市场交易机制具有重要的意义。
[Abstract]:In the existing research on the formation mechanism of extreme profit risk, the transaction link is a missing link in its logical chain. The existing empirical studies also generally ignore its influence on the risk of extreme return. This paper presents a new hypothesis to explain the formation mechanism of the risk of extreme return from the transaction link, and takes the market making transfer system introduced in the new third board market as an opportunity. The relationship between the mode of stock transfer and the risk of extreme income is investigated empirically. It is found that the risk of extreme return of stocks under market-oriented transfer is significantly lower than that of stocks transferred under the agreement. But more market makers do not bring significantly lower extreme return risks.) Market-making transfers have a strong inhibitory effect on the risk of stock price inflation in bear markets. The inhibitory effect on the risk of stock price collapse is stronger in the bull market.) the effect of the mode of stock transfer on the risk of extreme return mainly depends on the path of stock liquidity. The information efficiency path is mainly due to the high correlation between information efficiency and stock liquidity. Processing effect model is used to control the influence of self-selection deviation, and different extreme return risk metrics are used. Prolonging the calculation window of extreme income risk does not change the above empirical results. This shows that the transaction link is an important factor affecting extreme income risk. The introduction of market-oriented transfer is helpful to reduce the risk of extreme income of the new third-board listed companies. This paper is of great significance to understand the formation mechanism of the risk of extreme returns and to improve the trading mechanism of the new third-board market.
【作者单位】：广东金融学院金融系;中国人民银行金融研究所;中山大学管理学院;
【基金】：国家社会科学基金青年项目(16CJY072) 教育部人文社会科学研究青年基金项目(15YJC790008) 中国博士后科学基金(2016M591324)
【分类号】：F832.51

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