大宗交易对二级市场股价的影响研究

发布时间：2018-04-03 10:21

本文选题：大宗交易　切入点：二级市场　出处：《合肥工业大学》2017年硕士论文

【摘要】：大宗交易的设立是为了满足国内大宗股权持有者与机构投资者的流通需求,降低对二级市场的冲击,这种特殊性使其从设立初衷就与二级市场有着密切联系。国内学者关于大宗交易对二级市场股价影响的探究主要是以2008年“指导意见”实施以来股份制改革所引发的“大小非”大宗交易事件为研究对象。随着股权分置改革基本完成,证监会于2014年正式废止“指导意见”,并进一步降低大宗交易门槛,这意味着大宗交易市场的交易主体发生了变化。本文正是基于此背景,研究新政策下大宗交易事件对二级市场股价的影响机理,一方面丰富国内大宗交易的研究成果,为提高证券交易市场的运作效率提供理论支持;另一方面通过深入分析证券交易在两市场间的信息传导机制,有助于改善证券市场信息不对称现象,促进资本市场健康发展。本文选取了2014年4月15日至2016年4月15日的大宗交易作为研究样本,运用事件研究方法检验大宗交易对二级市场股价的影响,得出以下结论:(1)大宗交易对二级市场的股价产生显著影响,且二级市场对大宗买入的价格反应在短期内更为明显,对大宗卖出后的长期价格反应较大;(2)二级市场对牛市中大宗买入的价格反应较强,而对熊市时大宗卖出的短期价格反应更大;(3)二级市场以机构席位的大宗买入反应更大;(4)二级市场对β较高行业的大宗交易事件的短期价格反应较大;(5)创业板的大宗交易事件对二级市场的价格影响较大。此外,本文还进一步研究了大宗交易价格反应的影响因素,并得到以下结果:(1)折溢价水平、大宗交易的相对成交量与大宗买入后短期累计异常收益率显著正相关。(2)折溢价水平与成交量同大宗卖出后的累计异常收益均不显著。最后本文针对研究结果提出加大理性投资知识的普及力度,加强证券市场监管,降低大宗交易门槛,鼓励机构投资者参与的政策建议。
[Abstract]:The establishment of bulk trading is to meet the circulation needs of domestic bulk equity holders and institutional investors and reduce the impact on the secondary market. This particularity makes it closely related to the secondary market from its original intention.The research on the influence of bulk trading on the stock price in the secondary market is mainly focused on the "big and small" bulk trading events caused by the stock system reform since the implementation of the "guiding opinion" in 2008.As the split reform was largely completed, the regulator formally scrapped the guidance in 2014 and lowered the threshold for bulk trading further, meaning a change in the main body of trading in the bulk trading market.Based on this background, this paper studies the influence mechanism of the bulk trading events on the secondary market stock price under the new policy. On the one hand, it enriches the research results of the domestic bulk trading, and provides theoretical support for improving the efficiency of the securities trading market.On the other hand, it is helpful to improve the information asymmetry phenomenon and promote the healthy development of the capital market by deeply analyzing the information transmission mechanism between the two markets.From April 15, 2014 to April 15, 2016, this paper uses the event study method to test the impact of bulk trading on the secondary market stock price.Come to the following conclusion: 1) bulk trading has a significant impact on the share price of the secondary market, and the price response of the secondary market to bulk buying is even more evident in the short term.The secondary market is more responsive to the price of large purchases in the bull market.The short term price response to the bulk selling in the bear market is greater than that in the secondary market. (the secondary market has a bigger buying response with institutional seats.) the short term price response of the secondary market to the bulk trading events in the higher 尾 industries is larger than that of the gem.Transaction events have a greater impact on the prices of the secondary market.In addition, the paper further studies the influencing factors of the price response of bulk trading, and obtains the following results: 1 / 10%) discount premium level.The relative trading volume of bulk trading is significantly positively correlated with the short-term cumulative abnormal yield after buying.) the discount premium level and the volume of trading volume are not significant as well as the cumulative abnormal returns after bulk sale.Finally, this paper puts forward some policy suggestions to strengthen the popularization of rational investment knowledge, strengthen the supervision of securities market, lower the threshold of bulk trading and encourage the participation of institutional investors.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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