大宗交易对二级市场价格影响的实证研究

发布时间：2018-03-10 22:20

本文选题：大宗交易　切入点：二级市场　出处：《南京大学》2013年硕士论文　论文类型：学位论文

【摘要】：大宗交易是证券交易市场的特殊交易机制,是对证券市场普通交易机制的补充,也是市场微观结构理论要研究的重要部分。大宗交易制度、交易机制和交易系统产生的原因之一就是大宗交易的市场影响成本很大,给市场带来了巨大波动。本文希望通过研究大宗交易对二级市场股票价格的影响,一方面丰富相关的实证研究,另一方面也为我国大宗交易的发展和完善提供参考。本文主要采用的研究方法是事件研究和多元回归分析。本文的研究结果表明：买方驱动与卖方驱动大宗交易表现出不对称的价格效应；不同折溢价和成交量对价格冲击影响不同；主板、创业板和中小板市场对大宗交易的反应存在差异。在大宗交易对股票价格冲击的影响因素方面,本文研究发现大宗交易前股票累计超额收益与买方驱动、创业板、中小板以及指数3天平均收益正相关。永久性影响和暂时性影响方面,折溢价率与价格冲击的影响正相关；相对成交量与价格冲击的影响负相关；且对价格的冲击表现为暂时性影响。在不同板块表现方面,三个板块的暂时性冲击和永久性冲击受折价率和成交量的影响方向和程度也不同。最后,本文从完善大宗交易机制和加强大宗交易有效的市场监管方面提出了政策建议。
[Abstract]:Bulk trading is a special trading mechanism in the securities market, a supplement to the ordinary trading mechanism in the securities market, and an important part of the market microstructure theory. One of the reasons for the trading mechanism and trading system is that the market impact cost of bulk trading is very high, which brings huge volatility to the market. This paper hopes to study the impact of bulk trading on the secondary market stock prices. On the one hand, rich empirical research, On the other hand, it also provides a reference for the development and perfection of bulk trading in China. The main research methods used in this paper are event study and multiple regression analysis. The results of this study show that: buyer driven and seller driven bulk trading. Showing asymmetric price effect; Different discount premiums and trading volume have different effects on the price shock, and the main board, the growth enterprise board and the small and medium-sized market have different reactions to the bulk trading. In terms of the factors that affect the impact of bulk trading on stock prices, this paper finds that the cumulative excess returns of stocks before bulk trading and buyer driven, gem, In terms of permanent and temporary effects, the discount premium rate is positively correlated with the impact of price shocks, and the relative turnover is negatively correlated with the impact of price shocks. And the impact on the price is temporary. In terms of the performance of different plates, the temporary impact and the permanent impact of the three plates are also affected by the discount rate and the trading volume in different directions and degrees. Finally, This paper puts forward some policy suggestions from perfecting the bulk trading mechanism and strengthening the effective market supervision of bulk trading.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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