我国大宗股权交易折价现象研究

发布时间：2018-03-19 00:10

本文选题：大宗交易　切入点：折价　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国证券市场从纯散户主导向机构主导的转变,机构投资者交易的需求日益多元化,再加上股改后大量限售股的减持需求,我国证券市场对大宗交易机制的需求非常迫切。本文回顾了我国大宗股权交易的发展历史,总结了大宗交易的现状,对大宗交易表现出来的明显的折价现象和较高的折价率进行了深入分析,折价现象的原因包括流动性折价、信息沟通差等,也与大小非的套现动机和避税动机有关,部分大宗交易还涉嫌利益输送。本文选取2010年深交所大宗交易的数据进行了实证研究,结果部分支持了流动性折价假说,大宗交易的折价率与股票波动性和股票自身非流动性显著正相关。另外,实证结果也发现折价率与大宗交易的参与者、大宗交易发生的时间、地点等因素有关。虽然大宗交易的成交价不计入股票当日收盘价,也不计入指数,但由于大宗交易的信息会于当日进行专门公布,二级市场会对大宗交易做出反应,本文在CAPM的基础上研究了大宗交易折溢价对股票预期收益率的影响,结果表明折溢价率对股票预期收益率影响为负,但由于样本的限制,所得结果并非完全显著。与纽交所等海外大宗交易的模式相比,我国当前的大宗交易模式较为单-信息沟通差、交易过于透明,导致大宗交易不但规模小,而且陷入了折价的恶性循环。最后,本文对我国大宗交易体制的改善提出了一些建议。
[Abstract]:With the transition of China's securities market from being dominated by pure retail investors to being dominated by institutions, the demand for trading by institutional investors has become increasingly diversified, coupled with the demand for the reduction of a large number of restricted stocks after the stock reform. The demand for bulk trading mechanism in China's securities market is very urgent. This paper reviews the development history of bulk equity trading in China and summarizes the current situation of bulk trading. This paper makes a deep analysis of the obvious discount phenomenon and the high discount rate of the bulk trading. The reasons for the discount include liquidity discount, poor information communication and so on. It also has something to do with the large and small non-cash motive and tax avoidance motive. Part of the bulk trade is also suspected of the transfer of benefits. Based on the data of Shenzhen Stock Exchange in 2010, this paper makes an empirical study. The results partially support the liquidity discount hypothesis. The discount rate of bulk trading is positively correlated with the volatility of stocks and the illiquidity of stocks themselves. The empirical results also show that the discount rate is related to the participants, the time and place of the bulk trading. Although the trading price of bulk trading is not included in the closing price of the stock on the same day, nor is it included in the index, the secondary market will react to the bulk trading because the information on the bulk trading will be released specifically on the same day. On the basis of CAPM, this paper studies the effect of bulk trading discount premium on stock expected return. The result shows that the effect of discount premium rate on stock expected return is negative, but the result is not completely significant due to the limitation of sample. Compared with the overseas bulk trading model such as the New York Stock Exchange, China's current bulk trading model is relatively simple-poor communication of information and too transparent trading, resulting in bulk trading not only on a small scale, but also into a vicious circle of discount. This paper puts forward some suggestions on the improvement of China's bulk trading system.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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