股东大量减持与创业板牛市并存现象研究

发布时间：2018-02-03 06:53

本文关键词： 股东减持创业板市场泡沫　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：2013年是我国股市中股东大量减持的一个高峰期,尤其是创业板公司；2012年我国沪深两市股东减持总额约140亿,其中中小板和创业板分别占据70%和23%。2013年我国沪深两市股东减持市值总额约580亿,其中中小板占58%,创业板占35%,创业板减持市值比2012年增长了约530%,在如此巨大的股东减持压力下,创业板却创造了近300%的板块指数收益率,这一现象引发了本人的思考。本文通过深入挖掘市场数据,运用描述性统计以及回归分析方法对2013年股东减持行为对市场具体影响进行深入分析,在明确了股东减持行为对市场的短期负面影响的基础上进一步从资本市场制度设计角度分析了产生大量股东减持套现行为的原因,针对2013年这一股东大量减持和创业板牛市同时出现的现象,本文首先从基本面角度分析排除了创业板2013高增长由公司内在价值决定,之后运用游程检验和持续期依赖检验方法判断市场投机泡沫确实存在,在此基础上本文第四章对存在大量股东减持行为时的2013年创业板指数走势原因进行探究,结合市场人士的观点分析了可能引起创业板2013年牛市行情的原因。最终文本得出结论：创业板股东减持高峰与2013年结构性牛市并存在现象是由着资本市场制度设计缺陷、市场投机泡沫以及其他市场环境因素造成的,虽然大量的股东减持确实造成了很强的市场负面影响,但由于市场非理性造成了大量资金对存在明显泡沫的创业板的持续追捧；这一在理论上值得质疑的现象在我国当前的资本市场环境下有其存在的必然性,但随着我国资本市场改革的推进,市场效率的不断提高,机构投资者占市场的比例不断提高,投资者的行为将不断趋于理性,这种由市场非理性导致的现象将逐渐减少。
[Abstract]:2013 is a peak period for shareholders to reduce their holdings in China's stock market, especially for gem companies. In 2012, the total amount of shareholders' reduction in Shanghai and Shenzhen stock markets was about 14 billion, in which the small and medium board and the growth enterprise board occupied 70% and 23.3 respectively. The total amount of shareholders' reduction of market value in Shanghai and Shenzhen stock markets was about 58 billion in the period of 2013. Among them, the small and medium board accounted for 58, gem accounted for 35, the growth Enterprise Market market value compared to 2012 increased about 530 percent, in such a huge shareholder reduction pressure. Gem has created nearly 300% of the plate index yield, this phenomenon triggered my thinking. In this paper, through the in-depth mining of market data, the use of descriptive statistics and regression analysis of the 2013 shareholder reduction behavior on the specific impact of the market in-depth analysis. On the basis of clarifying the short-term negative impact of the shareholder reduction on the market, this paper further analyzes the reasons for the large number of shareholders' reduction of cash from the perspective of the capital market system design. In view of the phenomenon that in 2013 this shareholder's massive reduction and the gem bull market appeared simultaneously, this article first from the fundamental aspect analysis excluded the gem 2013 high growth by the company intrinsic value determination. Then we use run test and duration dependence test to judge the existence of speculative bubble in the market. On this basis, this article 4th chapter on the existence of a large number of shareholders to reduce the behavior of the gem in 2013 to explore the reasons for the trend of the index. Combined with the market point of view analysis may cause the gem bull market on 2013 reasons. The final text draws a conclusion: the peak of gem shareholder reduction and the structural bull market in 2013 are caused by the defects of capital market system design, market speculative bubble and other market environmental factors. Although a large number of shareholders have indeed caused a strong negative impact on the market, but due to irrational market caused by a large number of funds to the existence of a clear bubble of the gem continued to pursue; This phenomenon is questionable in theory in China's current capital market environment has its inevitability, but with the promotion of China's capital market reform, the market efficiency continues to improve. With the increasing proportion of institutional investors in the market, the behavior of investors will continue to be rational, and the phenomenon caused by market irrationality will be gradually reduced.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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