發(fā)布時(shí)間：2018-04-03 10:21

  本文選題：大宗交易　切入點(diǎn)：二級(jí)市場(chǎng)　出處：《合肥工業(yè)大學(xué)》2017年碩士論文

【摘要】：大宗交易的設(shè)立是為了滿足國內(nèi)大宗股權(quán)持有者與機(jī)構(gòu)投資者的流通需求,降低對(duì)二級(jí)市場(chǎng)的沖擊,這種特殊性使其從設(shè)立初衷就與二級(jí)市場(chǎng)有著密切聯(lián)系。國內(nèi)學(xué)者關(guān)于大宗交易對(duì)二級(jí)市場(chǎng)股價(jià)影響的探究主要是以2008年“指導(dǎo)意見”實(shí)施以來股份制改革所引發(fā)的“大小非”大宗交易事件為研究對(duì)象。隨著股權(quán)分置改革基本完成,證監(jiān)會(huì)于2014年正式廢止“指導(dǎo)意見”,并進(jìn)一步降低大宗交易門檻,這意味著大宗交易市場(chǎng)的交易主體發(fā)生了變化。本文正是基于此背景,研究新政策下大宗交易事件對(duì)二級(jí)市場(chǎng)股價(jià)的影響機(jī)理,一方面豐富國內(nèi)大宗交易的研究成果,為提高證券交易市場(chǎng)的運(yùn)作效率提供理論支持;另一方面通過深入分析證券交易在兩市場(chǎng)間的信息傳導(dǎo)機(jī)制,有助于改善證券市場(chǎng)信息不對(duì)稱現(xiàn)象,促進(jìn)資本市場(chǎng)健康發(fā)展。本文選取了2014年4月15日至2016年4月15日的大宗交易作為研究樣本,運(yùn)用事件研究方法檢驗(yàn)大宗交易對(duì)二級(jí)市場(chǎng)股價(jià)的影響,得出以下結(jié)論:(1)大宗交易對(duì)二級(jí)市場(chǎng)的股價(jià)產(chǎn)生顯著影響,且二級(jí)市場(chǎng)對(duì)大宗買入的價(jià)格反應(yīng)在短期內(nèi)更為明顯,對(duì)大宗賣出后的長期價(jià)格反應(yīng)較大;(2)二級(jí)市場(chǎng)對(duì)牛市中大宗買入的價(jià)格反應(yīng)較強(qiáng),而對(duì)熊市時(shí)大宗賣出的短期價(jià)格反應(yīng)更大;(3)二級(jí)市場(chǎng)以機(jī)構(gòu)席位的大宗買入反應(yīng)更大;(4)二級(jí)市場(chǎng)對(duì)β較高行業(yè)的大宗交易事件的短期價(jià)格反應(yīng)較大;(5)創(chuàng)業(yè)板的大宗交易事件對(duì)二級(jí)市場(chǎng)的價(jià)格影響較大。此外,本文還進(jìn)一步研究了大宗交易價(jià)格反應(yīng)的影響因素,并得到以下結(jié)果:(1)折溢價(jià)水平、大宗交易的相對(duì)成交量與大宗買入后短期累計(jì)異常收益率顯著正相關(guān)。(2)折溢價(jià)水平與成交量同大宗賣出后的累計(jì)異常收益均不顯著。最后本文針對(duì)研究結(jié)果提出加大理性投資知識(shí)的普及力度,加強(qiáng)證券市場(chǎng)監(jiān)管,降低大宗交易門檻,鼓勵(lì)機(jī)構(gòu)投資者參與的政策建議。
[Abstract]:The establishment of bulk trading is to meet the circulation needs of domestic bulk equity holders and institutional investors and reduce the impact on the secondary market. This particularity makes it closely related to the secondary market from its original intention.The research on the influence of bulk trading on the stock price in the secondary market is mainly focused on the "big and small" bulk trading events caused by the stock system reform since the implementation of the "guiding opinion" in 2008.As the split reform was largely completed, the regulator formally scrapped the guidance in 2014 and lowered the threshold for bulk trading further, meaning a change in the main body of trading in the bulk trading market.Based on this background, this paper studies the influence mechanism of the bulk trading events on the secondary market stock price under the new policy. On the one hand, it enriches the research results of the domestic bulk trading, and provides theoretical support for improving the efficiency of the securities trading market.On the other hand, it is helpful to improve the information asymmetry phenomenon and promote the healthy development of the capital market by deeply analyzing the information transmission mechanism between the two markets.From April 15, 2014 to April 15, 2016, this paper uses the event study method to test the impact of bulk trading on the secondary market stock price.Come to the following conclusion: 1) bulk trading has a significant impact on the share price of the secondary market, and the price response of the secondary market to bulk buying is even more evident in the short term.The secondary market is more responsive to the price of large purchases in the bull market.The short term price response to the bulk selling in the bear market is greater than that in the secondary market. (the secondary market has a bigger buying response with institutional seats.) the short term price response of the secondary market to the bulk trading events in the higher 尾 industries is larger than that of the gem.Transaction events have a greater impact on the prices of the secondary market.In addition, the paper further studies the influencing factors of the price response of bulk trading, and obtains the following results: 1 / 10%) discount premium level.The relative trading volume of bulk trading is significantly positively correlated with the short-term cumulative abnormal yield after buying.) the discount premium level and the volume of trading volume are not significant as well as the cumulative abnormal returns after bulk sale.Finally, this paper puts forward some policy suggestions to strengthen the popularization of rational investment knowledge, strengthen the supervision of securities market, lower the threshold of bulk trading and encourage the participation of institutional investors.
【學(xué)位授予單位】：合肥工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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