机构投资者持股比例、股票流动性与股价崩盘风险

发布时间：2018-11-06 17:08

【摘要】：我国股票市场经历二十多年的发展,仍有诸多不完善之处,其中体现在股票市场反复出现股价的"暴涨暴跌"。这种证券市场中由于某种原因导致大量投资者对手中所持有的股票进行抛售,造成股票价格在短时间内急速下跌的现象称之为"股价崩盘"。股票市场的暴涨使得大量投资者盲目进入,忽视了由于股价波动带来的风险;一旦股价发生暴跌,投资者损失惨重,严重损害市场中投资者的信心。股价崩盘风险越来越成为学术界关注的热点问题。本文从金融视角研究机构投资者持股比例、股票流动性对股价崩盘风险的影响。本文以2007——2015年中国A股上市公司为样本,在学习和归纳国内外相关研究成果的基础上,采用描述性统计、相关性检验和回归分析等实证研究方法,考察机构投资者持股比例、股票流动性与股价崩盘风险之间的关系。研究发现:(1)机构投资者持股比例与股价崩盘风险呈显著正相关,说明机构投资者持股比例越高,上市公司发生股价崩盘风险越高;(2)股票流动性与股价崩盘风险呈显著负相关,说明股票流动性越好,上市公司的股价崩盘风险越低;(3)股票流动性越好,机构投资者持股比例对于股价崩盘风险的正向作用显著减弱。进一步研究发现,创业板的股票更容易出现股价崩盘;通过研究产权性质对于股价崩盘风险的影响,国有控股的上市公司如果有较好的股票流动性水平,其发生股价崩盘风险就会显著减弱。这些研究发现拓宽了股价崩盘风险影响因素的研究,丰富了机构投资者持股比例的相关文献,对政府监管机构引导投资者理性参与投资、维护资本市场良性发展,具有一定的启示意义。
[Abstract]:After more than 20 years of development, there are still many imperfections in the stock market, which is reflected in the repeated "rise and fall" of the stock market. In this kind of securities market, for some reason, a large number of investors sell off the stocks held in their hands, which causes the stock price to fall sharply in a short period of time, which is called "stock price collapse". The sharp rise in the stock market makes a large number of investors blindly enter, ignoring the risks brought by the fluctuation of stock price. Once the stock price falls, investors lose a lot of money, which seriously damages the confidence of investors in the market. The risk of stock price collapse has become a hot issue in academic circles. This paper studies the effects of institutional investors' shareholding ratio and stock liquidity on the risk of stock price collapse from the financial perspective. Based on the study of Chinese A-share listed companies from 2007 to 2015, this paper adopts descriptive statistics, correlation test and regression analysis. To investigate the relationship between institutional investors' shareholding ratio, stock liquidity and the risk of stock price collapse. The results show that: (1) the proportion of institutional investors holding shares is significantly positively correlated with the risk of stock price collapse, which means that the higher the proportion of institutional investors holding shares, the higher the risk of stock price collapse of listed companies; (2) there is a significant negative correlation between stock liquidity and stock price collapse risk, which means that the better the stock liquidity, the lower the stock price collapse risk of listed companies; (3) the better the stock liquidity, the lower the positive effect of institutional investor's holding ratio on the risk of stock price collapse. Further research found that gem stocks are more likely to collapse; By studying the influence of property right on the risk of stock price collapse, if the state-owned listed company has a better stock liquidity level, the risk of stock price collapse will be significantly weakened. These findings broaden the research on the factors affecting the risk of stock price collapse, enrich the relevant literature on the proportion of institutional investors holding shares, guide investors to participate in investment rationally and safeguard the sound development of capital market. Has certain enlightenment significance.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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