中国证券市场大宗交易信号传递效应的实证研究

发布时间：2018-01-07 05:40

本文关键词：中国证券市场大宗交易信号传递效应的实证研究　出处：《江西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：自1990年深圳证券交易所开始试运作以来，中国证券市场已走过了23年的发展历程，为中国企业和经济体制改革、社会转型和市场经济的发展做出了卓越的贡献。但我国证券市场的健康发展问题一直被人们所关注，“消息市”、“投机市”成为困扰证券市场发展的诟病，信息不对称现象的广泛存在严重影响了市场交易行为和市场效率。大宗交易作为证券市场的特殊交易机制，是对普通交易机制的有益补充，其交易主体的特殊性，使得大宗交易平台成为了信息优势方的交易场所，其拥有的信息显然多于普通投资。若大宗交易能作为有效的信号传递方式，必然能为改善我国资本市场信息不对称现象、避免逆向选择做出贡献。目前，我国学者对于大宗交易的研究多集中在大宗交易制度和大宗交易价格方面，从信号传递角度进行的探讨较少；且由于我国大宗交易平台自2008年起才开始真正活跃，至今不过五年之余，因此目前学者们对于大宗交易的大样本分析并不多。本文对中国证券市场大宗交易信号传递效应进行实证研究，并选取了2008年4月20日至2012年6月31日大样本数据进行整体和分组分析，具有一定的理论意义和现实价值。本文首先梳理了信号传递理论、大宗交易理论，分析了中国大宗交易制度的特点和现状，然后以理论为基础，以现实背景为依据提出了文章的假设，并运用事件研究法，对我国证券市场大宗交易信号传递效应进行了系统研究和分析。笔者分别考察了（1）普通投资者对于整个市场大宗交易短期直观的反应；（2）普通投资者对于整个市场大宗交易中长期理性的反应；（3）普通投资者对于大宗交易中不同价格信息的反应，得出了以下结论：（1）市场对于大宗交易信号的短期直观的反应为负，大宗交易事件后窗口期的累积异常收益率持续走低；（2）市场对于大宗交易信号中长期理性的反应为负，大宗交易事件后180天的累积异常收益率显著为负，投资者对大宗交易披露信息的短期负面反应是理性的；（3）市场对于不同价格分组的大宗交易反应方向一致，即为负，且事件前后的反应程度不同。事件日及事件日前，溢价率样本组的异常收益率反应显著；事件后，折价率高的样本组异常收益率反应显著；（4）中国证券市场大宗交易是负面信号的传递；（5）大宗交易事件前至事件日存在异常收益率。大宗交易市场中存在着信息优势方利用信息优势做出有利于自身利益的事情或者选择更好的时点进行交易的行为，大宗交易市场上存在着内幕交易或市场操纵的嫌疑。最后，本文结合我国大宗交易的特殊背景提出对策和建议，希望能对我国证券市场的健康发展略进绵薄之力。本文对于我国证券市场大宗交易信号传递效应的研究只是一次简单的探索，虽然在某些方面得出了一些有益的结论，但仍存在着不足。主要表现在：第一，，本文验证了中国证券市场大宗交易信息负指示的效应，但由于样本筛选限制，无法区分交易双方的身份信息，因此无法进一步对不同方向的“信号”进行甄别；第二，本文未能通过合适变量的回归分析来解释异常收益率的来源。这些不足将成为笔者今后对该问题进行深入研究的方向。
[Abstract]:Since 1990, the Shenzhen Stock Exchange began trial operation, Chinese securities market has gone through 23 years of development, as Chinese enterprise and economic system reform, has made outstanding contributions to the development of society and market economy. But the healthy development of the securities market in China has been of concern to the people, "the news" "speculation" has hindered the development of the securities market are widely criticized, the existence of information asymmetry phenomenon has seriously affected the market trading behavior and market efficiency. As a special commodity trading stock market trading mechanism, is a useful supplement to the general trading mechanism, the particularity of the main transaction, the bulk trading platform has become the information superiority trading places, having information obviously than ordinary investment. If the bulk of transactions can serve as an effective way of signal transduction, must be able to improve China's capital market information Symmetry is a phenomenon that avoids the contribution of adverse selection.
At present, Chinese scholars mainly focus on the block trading block trading system and commodity trading prices, discussed from the angle of the signal transmission is less; and because of Chinese bulk trading platform since 2008 began to really active, but has more than five years, because of the current scholars for large sample block trading the analysis is not much. The bulk trading Chinese stock market signaling effect of empirical research, and from April 20, 2008 to June 31, 2012 the overall sample data and packet analysis, has a certain theoretical significance and practical value.
This paper first analyzes the signal transmission theory, block trading theory, analyses the characteristics and status of Chinese block trading system, based on the theory of the realistic background as the basis, put forward the hypothesis, and using the event study method, for the bulk of transactions in China's securities market signaling effect are researched and analyzed. The author were investigated (1) for ordinary investors short-term intuitive block trading market as a whole; (2) ordinary investors for long-term rational response to block trading market as a whole; (3) ordinary investors for different price information in large transactions, draws the following conclusions: (1) the market for bulk short-term trading signals direct response to negative events after the cumulative abnormal returns of bulk trading window period rate continued to decline; (2) the market for long-term rational response to the negative signal block trading, Block trading cumulative abnormal returns for 180 days after the incident rate is significantly negative, investors in the bulk trading information disclosure of short term negative reaction is rational; (3) the market for bulk trading price favorable response direction different groups, namely negative reaction degree and different before and after the event. The event date and event before the exception income premium rate sample rate was significantly; after the incident, the discount rate of the sample group abnormal returns high reaction rate significantly; (4) bulk trading Chinese securities market is sending a negative signal; (5) large transactions before the event to the event on the abnormal return rate. Block there is information advantage to the interests of the things or choose a better point trading behavior easily take advantage of the information market, the wholesale trading market exists for insider trading or market manipulation. At last, this article unifies our country The special background of the bulk transaction puts forward the countermeasures and suggestions, hoping to make a slight effort to the healthy development of the securities market in our country.
The study on commodity transactions in China's securities market signaling effect just a simple exploration, although in some aspects and some conclusions are obtained, but there are still shortcomings. The main features: first, this paper verified the effect of Chinese stock market a big deal of information indicating negative, but due to limited sample selection, not the identity of the two sides to distinguish between transaction information, so no further screening of different directions of the "signal"; second, we could not through regression analysis to explain the suitable variable source of abnormal returns. These problems will become the future of the in-depth research.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

【参考文献】