我国创业板流动性影响因素实证研究

发布时间：2018-01-07 21:07

本文关键词：我国创业板流动性影响因素实证研究　出处：《上海师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：创业板市场是一个国家资本市场的重要组成部分，其主要功能在于专门为具有成长性的新兴中小企业开辟融资渠道和为风险投资提供退出机制。创业板市场在海外成熟的市场机制下，己经取得了丰富的运作经验，但在我国却是证券市场的创新。因此，中国创业板市场的设立，将不可避免地面临着一系列重大挑战。创业板为投资者提供高收益的机会，，同时了伴随着巨大的投资风险。由于创业板市场成立不久，且市场规模较小，发展时间较短，其股价的波动要比主板剧烈。流动性是决定证券市场的生命力的重要因素，也是衡量市场质量的有效指标。提高市场的流动性不仅有助于活跃市场，吸引投资者，更重要的是有利于稳定市场价格、保证金融市场的正常运转并促进资源有效配置。不仅如此，流动性也被证明是资产价格的重要决定因素。本文在总结国内外学者关于流动性研究的基础上，对流动性展开理论研究，并且利用中国创业板市场的交易数据进行了实证研究，将该问题的理论与实证结合在一起，对其进行了比较完整的阐述。以2010年1月1日到2012年12月31日深圳创业板市场上市的78只A股股票为基本分析样本，以成交价格、业绩水平、公司规模、流通股股东影响力为基本分析变量，对股票市场的流动性进行多元逐步回归分析，并得出了基本模型。在理论与实证的基础上，得到本文的主要结论： (1)影响股票市场流动性的主要因素有股价、每股收益和流通股本，这些变量通过逐步回归都进入了回归模型，而净资产收益率、前十大股东所持股所占比例、流通股比例等因素对流动性的影响不大。 (2)股价与流动性存在着显著的正相关性。同样的绝对价差下，低价股的流动性成本更高，相对于高价股其流动性较差。 (3)每股收益、流通股本与流动性存在着正相关性，提高上市公司的业绩水平和流通股本规模，能提高证券市场的流动性水平。
[Abstract]:The gem market is an important part of a country's capital market. Its main function is to open up the financing channel and provide the exit mechanism for the venture capital specially for the growth new small and medium-sized enterprises. The gem market is under the overseas mature market mechanism. Has already obtained the rich operation experience, but in our country actually is the stock market innovation, therefore, the Chinese growth enterprise market establishment. Will inevitably face a series of major challenges. Gem provides investors with a high return opportunities, accompanied by a huge investment risk. Because the gem market is not long established, and the market size is relatively small. The development time is short, its stock price fluctuates to be more violent than the main board. Liquidity is an important factor to determine the vitality of the securities market, and also an effective indicator to measure the quality of the market. Improving the liquidity of the market is not only helpful to activate the market, but also to attract investors. More importantly, it helps to stabilize market prices, ensure the proper functioning of financial markets and promote efficient allocation of resources. Moreover, liquidity has proved to be an important determinant of asset prices. On the basis of summarizing the domestic and foreign scholars' research on liquidity, this paper makes a theoretical study on liquidity, and makes an empirical study using the transaction data of China's gem market. The theory of the problem is combined with the empirical analysis. From January 1st 2010 to December 31st 2012, 78 A-share stocks listed in the Shenzhen gem market were taken as the basic analysis samples, and the transaction price was taken as the basic analysis sample. Performance level, company size and shareholder influence of circulating shares are the basic analysis variables. The multivariate stepwise regression analysis of stock market liquidity is carried out, and the basic model is obtained. On the basis of theory and practice, the main conclusions of this paper are as follows: The main factors that affect the liquidity of the stock market are stock price, earnings per share and circulating stock capital. These variables enter the regression model through stepwise regression, while the return on net assets. The proportion of the top ten shareholders and the proportion of circulating shares have little effect on liquidity. (2) there is a significant positive correlation between stock price and liquidity. Under the same absolute price difference, the liquidity cost of low-priced stocks is higher than that of high-priced stocks. 3) there is a positive correlation between earnings per share, circulating stock capital and liquidity. To improve the performance level of listed companies and the scale of circulating stock capital, the liquidity level of securities market can be improved.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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