做市商制度下我国新三板流动性研究

发布时间：2018-07-06 08:42

本文选题：做市商制度 + 流动性　；参考：《北京交通大学》2017年硕士论文

【摘要】：新三板聚集了大量高新技术企业,这类企业市值较小,处在快速扩展期,融资需求较大。但由于新三板是场外交易市场,市场波动性小,每日市场的总成交量只有数亿元,流动性较差。这种缺乏流动性的情况带来的结果就是企业的公允价值无法在交易中体现出来,进而无法发挥新三板市场的投融资功能,导致中小企业无法享受到企业挂牌新三板带来的便利。为了解决流动性问题,在2014年8月25日,新三板做市商制度正式启动。市场的交易方式从原先单纯的协议转让制度进入到协议转让与做市转让并行的双轨制度,借此来改善整个市场的流动性和效率。本文从新三板做市制度实行后的交易数据入手,首先按照筛选标准,剔除了挂牌不足一年以及交易日小于300天的企业,在进一步剔除零成交日天数大于100天的企业,剩余247家企业,作为实证分析样本。其次选取样本公司市盈率,每日做市交易产生的日均成交额,日换手率指标,并且通过每日开盘收盘价格的绝对值构建一个流动性指标来衡量流动性变化。具体而言是将对数化处理后的流动性指标和市盈率指标,换手率指标,单股成交额指标进行格兰杰因果检验,查验相互之间是否符合格兰杰原因。之后将通过检验的日单股成交额,日换手率和流动性指标构建一个误差修正模型,定量分析了新三板流动性和挂牌企业市盈率、单股成交额、换手率等相关指标的数量关系。研究结果表明,新三板市场的流动性和市场换手率、单股成交额有一定正向关系,和市盈率具有反向关系。单股成交额、换手率反映了每日买卖双方实际完成交割股票的具体数量和市场上股票转手买卖的频率,能体现投资者对市场的参与热情,市盈率的高低能一定程度反映市场投资者对挂牌公司的认可程度,市盈率越高,在EPS一定的情况下,说明越受到二级市场的投资者追捧。以上三个指标,都会对市场的整体流动性产生影响。因此,后续在促进新三板流动性的问题上,可以从促进挂牌交易股票的换手,提升挂牌交易公司的盈利能力等方面来制定具体措施。
[Abstract]:New third Board gathered a large number of high-tech enterprises, such enterprises market value is small, in the period of rapid expansion, the financing needs are large. However, because the new third board is an over-the-counter market, the market volatility is small, the daily market turnover is only hundreds of millions of yuan, liquidity is poor. The result of this lack of liquidity is that the fair value of the enterprise can not be reflected in the transaction, and then can not play the role of investment and financing of the new third board market, resulting in small and medium-sized enterprises can not enjoy the convenience brought by the listing of the new third board. In order to solve the liquidity problem, on August 25, 2014, the new three-board market maker system officially launched. The transaction mode of the market moves from the simple agreement transfer system to the two-track system of the agreement transfer and the market making transfer, so as to improve the liquidity and efficiency of the whole market. This paper starts with the transaction data after the implementation of the new three-board market making system, first of all, according to the screening criteria, the enterprises listed for less than one year and the trading day less than 300 days are eliminated, and those enterprises whose days of zero transaction day are more than 100 days are further eliminated. The remaining 247 enterprises, as an empirical analysis sample. Secondly, we select the sample company's price-earnings ratio, the daily average turnover, the daily turnover ratio index, and construct a liquidity index to measure the liquidity change through the absolute value of the daily opening price. Specifically, the logarithmic treatment of liquidity index and price-earnings ratio index, turnover index, single share turnover index Granger causality test, check whether the Granger cause and effect. After that, an error correction model is constructed through the daily turnover, turnover rate and liquidity index, and quantitative analysis is made of the quantitative relationship between the new three-board liquidity and listed enterprises' price-earnings ratio, single share turnover, turnover ratio and so on. The results show that the liquidity of the new market has a positive relationship with the turnover rate of the market and the turnover of a single share, and it has a reverse relationship with the price-earnings ratio. The turnover and turnover rate of a single share reflect the actual number of shares that buyers and sellers actually complete on a daily basis and the frequency at which stocks are traded in the market, which can reflect the enthusiasm of investors for participation in the market. The price-earnings ratio can reflect the recognition degree of the listed company to a certain extent. The higher the price-earnings ratio, the more the secondary market investors pursue under the certain circumstances of EPS. The above three indicators, will have an impact on the overall liquidity of the market. Therefore, on the issue of promoting the liquidity of the new third board, we can formulate specific measures from the aspects of promoting the exchange of listed stocks and enhancing the profitability of listed trading companies.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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