股改前后股市流动性及收益波动性的变化

发布时间：2018-10-13 10:08

【摘要】：股权分置是指我国股票市场上存在的流通股与非流通股分裂的现象,2005年4月29日,经国务院批准,我国股权分置改革试点工作正式启动。这是我国股票市场的一次重大制度改革,它解禁了市场上三分之二的非流动股,这必然对证券市场造成冲击。国内学术界对股改的研究主要集中于对价水平及股东权益保护方面,本文选择金融市场视角,直接通过数据来分析股改信息给股市带来的影响。本文选取股票流动性及收益波动性两个角度,采用投资组合的方法,通过对不同市场的考察,来分析股改这一事件的前期、中期、后期,市场换手率、非流动性以及收益率方差的变化情况。采用平权和加权的方法,来考察创业板的成立对平均收益率方差变化的影响程度。研究发现,换手率与市值无关,非流动性和收益率方差与市值负相关；市值大的股票流动性高于市值小的股票,其收益波动性小于市值小的股票；股改前、中、后期,股票换手率逐渐提高,非流动性显著减小；股改使得短期内股票的平均收益波动率降低,但长期内由于新上市公司的加入,特别是创业板股票的加入,股票平均收益波动率出现略微上升的现象。总的来说,股权分置改革显著提高了股市的流动性,降低了股市的收益波动性,且这些改善都具有长期有效性。
[Abstract]:Split share structure refers to the split between tradable and non-tradable shares in the stock market in China. On April 29, 2005, with the approval of the State Council, the pilot work of split share structure reform in China was officially started. This is a major institutional reform in China's stock market, which has lifted the ban on 2/3 non-current shares in the market, which is bound to impact the securities market. Domestic academic circles mainly focus on the consideration level and the protection of shareholders' rights and interests. This paper chooses the financial market perspective to analyze the impact of stock reform information on the stock market directly through the data. This article selects stock liquidity and return volatility two angles, adopts the investment portfolio method, through the inspection to the different market, analyzes the stock reform this event early, the medium, the later, the market turnover rate, Changes in illiquidity and yield variance. The influence of the establishment of the gem on the variance of the average return is investigated by using the method of equal weight and weight. The study found that turnover rate has nothing to do with market capitalization, while illiquidity and variance of return are negatively correlated with market capitalization. The liquidity of stocks with large market capitalization is higher than that of stocks with small market capitalization, and its return volatility is less than that of stocks with small market capitalization. The stock turnover rate gradually increases, and the illiquidity decreases significantly. The stock reform reduces the volatility of the average return of the stock in the short term, but in the long run, due to the entry of the new listed companies, especially the gem stock, The stock average return volatility appears the phenomenon that rises slightly. On the whole, the split share structure reform has significantly increased the liquidity of the stock market and reduced the volatility of the stock market returns, and these improvements have long-term validity.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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