我国创业板股票流动性对收益率的影响研究

发布时间：2018-04-03 01:08

本文选题：创业板市场　切入点：收益率　出处：《沈阳理工大学》2014年硕士论文

【摘要】：作为一种新兴的证券市场，创业板市场自2009年10月30日在深圳证券交易所上市以来，它的发展受到了广泛关注。创业板市场是为扶持高成长性企业发展而设立的融资平台，是我国建立自主创新型国家，提高国家综合竞争力的重要保障。创业板市场的健康发展将推动我国多层次资本市场体系的发展，激发证券市场活力，提高市场运作效率，，从而促进证券市场的长期、高效、稳健发展。流动性作为衡量市场运行效率的重要指标，为投资者之间的交易提供了最基本的保障。收益率是衡量股价高低的重要标准之一，也是投资者选择投资方向的一个重要参考指标。流动性溢价理论的研究重点是流动性与收益率的关系问题，它为研究股票的收益率提供了新的方向，本文根据流动性溢价理论的内容，探讨流动性溢价理论在我国创业板市场是否适应，研究创业板市场流动性对收益率的影响。本文共分为五部分。首先在绪论部分介绍了本课题的研究背景和意义，总结了国内外关于流动性与收益率关系的研究现状，并指出本课题的研究内容、研究方法和创新点；其次，本文的第二部分对股票流动性和收益率进行了概括和总结,分别分析了影响流动性和收益率的因素，阐述了流动性溢价理论；然后在本文的第三部分介绍我国创业板市场的产生背景及过程，分析目前我国创业板市场的运行状况，通过对创业板股票流动性的统计分析发现我国创业板股票流动性的波动幅度较大；第四部分实证分析了流动性对收益率的影响，以换手率和非流动性比率为解释变量，以公司规模、净资产收益率和流通股比为控制变量，分时间段建立了关于股票收益率的变系数回归模型，研究结果表明无论是大盘下跌还是上升时期我国创业板股票流动性与收益率呈正相关关系，创业板市场不存在流动性溢价现象；本文的最后一部分根据实证部分的结论，并结合我国创业板市场的运行现状，提出了稳定市场流动性，促进创业板市场发展的建议。
[Abstract]:As a new stock market, the gem market has received extensive attention since it was listed on the Shenzhen Stock Exchange on October 30, 2009.Growth Enterprise Market (gem) is a financing platform set up to support the development of high growth enterprises. It is an important guarantee for China to establish an independent and innovative country and to improve the comprehensive competitiveness of the country.The healthy development of the gem market will promote the development of the multi-level capital market system in China, stimulate the vitality of the securities market, improve the efficiency of the market operation, and thus promote the long-term, efficient and steady development of the securities market.Liquidity, as an important index to measure the efficiency of market operation, provides the most basic guarantee for the transaction between investors.The yield is one of the important standards to measure the stock price, and it is also an important reference index for investors to choose the investment direction.The study of liquidity premium theory focuses on the relationship between liquidity and return, which provides a new direction for the study of stock returns.This paper discusses whether the liquidity premium theory adapts to the gem market in China, and studies the effect of liquidity on the return rate in the gem market.This paper is divided into five parts.First of all, it introduces the research background and significance of this topic, summarizes the domestic and foreign research on the relationship between liquidity and return, and points out the research content, research methods and innovation points.The second part of this paper summarizes and summarizes the stock liquidity and the return rate, analyzes the factors that affect the liquidity and the return rate, and expounds the liquidity premium theory.Then in the third part of this paper, we introduce the background and process of the gem market in our country, and analyze the running condition of the gem market in our country at present.Through the statistical analysis of gem stock liquidity, we find that the volatility of gem stock liquidity is large. The fourth part empirically analyzes the effect of liquidity on the return rate, taking turnover rate and illiquidity ratio as explanatory variables.Taking the size of the company, the return on net assets and the ratio of tradable shares as control variables, the regression model of variable coefficient of stock return is established in different periods.The results show that there is a positive correlation between the liquidity and the return rate of gem stock in the period of market decline or rising, and there is no liquidity premium phenomenon in gem market. The last part of this paper is based on the conclusions of the empirical part.Combined with the current situation of the gem market in China, the paper puts forward some suggestions to stabilize the liquidity of the market and promote the development of the gem market.
【学位授予单位】：沈阳理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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