我国大宗交易对股票价格和流动性的影响

发布时间：2018-06-01 03:01

本文选题：大宗交易 + 价格影响　；参考：《暨南大学》2014年硕士论文

【摘要】：相比普通的交易方式，大宗交易制度具有定价更加灵活，交易成本较低并且交易效率更高等优势。我国对于大宗交易的研究还比较少，，尤其缺乏对大宗交易的实证研究，本文将使用大宗交易平台数据对大宗交易进行探讨。本文主要研究的是大宗交易的价格影响和流动性影响，使用的研究方法为事件研究法和多元回归分析法。研究结果表明，大宗交易买入驱动和卖出驱动有着不同的价格影响，大宗买入之前，股票价格有较明显的上涨迹象，大宗卖出之后，股票价格会产生明显的下降；通过把股票按总股本规模分为大中小三组，发现小规模股票的价格影响最为明显；通过把大宗交易价格的折溢价率按照由高到低分为五组进行分析，发现大宗交易的折溢价率和大宗交易的价格影响呈正相关关系；通过对大宗交易的流动性影响进行研究，本文发现大宗买入和大宗卖出对股票流动性的影响类似，在大宗交易发生之前，股票的流动性水平会升高，大宗交易发生之后股票的流动性水平会降低。本文的最后对我国的市场监管方面提出了建议，例如，证监会有必要完善信息披露制度，减少信息不对称的负面影响，提高大宗交易平台的使用率以及对我国大宗交易制度进行改善。
[Abstract]:Compared with the common trading mode, the bulk trading system has the advantages of more flexible pricing, lower transaction cost and higher transaction efficiency. There are few researches on bulk trading in China, especially lack of empirical research on bulk trading. This paper will use the data of bulk trading platform to discuss the bulk trading. This paper mainly studies the influence of price and liquidity of bulk trading. The research methods used are event analysis and multivariate regression analysis. The results show that the buying and selling drivers have different price effects. Before the bulk buying, the stock prices show obvious signs of rising, and after the bulk selling, the stock prices will have a significant decline; By dividing stocks into three groups according to the total size of equity, we find that the price impact of small stocks is the most obvious; by dividing the discount premium rate of bulk trading prices into five groups according to the range from high to low, It is found that there is a positive correlation between the discount premium rate of bulk trading and the price effect of bulk trading, and by studying the liquidity effect of bulk trading, we find that the influence of bulk buying and selling on stock liquidity is similar. Prior to big trading, liquidity levels in stocks would rise, and liquidity levels would fall after big trading. At the end of this paper, some suggestions are put forward on the market supervision in China. For example, it is necessary for the CSRC to improve the information disclosure system and reduce the negative impact of information asymmetry. Improve the use of bulk trading platform and improve the bulk trading system in China.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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