本文選題：大宗交易 + 價(jià)格影響��； 參考：《暨南大學(xué)》2014年碩士論文

【摘要】：相比普通的交易方式，大宗交易制度具有定價(jià)更加靈活，交易成本較低并且交易效率更高等優(yōu)勢(shì)。我國(guó)對(duì)于大宗交易的研究還比較少，，尤其缺乏對(duì)大宗交易的實(shí)證研究，本文將使用大宗交易平臺(tái)數(shù)據(jù)對(duì)大宗交易進(jìn)行探討。 本文主要研究的是大宗交易的價(jià)格影響和流動(dòng)性影響，使用的研究方法為事件研究法和多元回歸分析法。研究結(jié)果表明，大宗交易買(mǎi)入驅(qū)動(dòng)和賣(mài)出驅(qū)動(dòng)有著不同的價(jià)格影響，大宗買(mǎi)入之前，股票價(jià)格有較明顯的上漲跡象，大宗賣(mài)出之后，股票價(jià)格會(huì)產(chǎn)生明顯的下降；通過(guò)把股票按總股本規(guī)模分為大中小三組，發(fā)現(xiàn)小規(guī)模股票的價(jià)格影響最為明顯；通過(guò)把大宗交易價(jià)格的折溢價(jià)率按照由高到低分為五組進(jìn)行分析，發(fā)現(xiàn)大宗交易的折溢價(jià)率和大宗交易的價(jià)格影響呈正相關(guān)關(guān)系；通過(guò)對(duì)大宗交易的流動(dòng)性影響進(jìn)行研究，本文發(fā)現(xiàn)大宗買(mǎi)入和大宗賣(mài)出對(duì)股票流動(dòng)性的影響類似，在大宗交易發(fā)生之前，股票的流動(dòng)性水平會(huì)升高，大宗交易發(fā)生之后股票的流動(dòng)性水平會(huì)降低。 本文的最后對(duì)我國(guó)的市場(chǎng)監(jiān)管方面提出了建議，例如，證監(jiān)會(huì)有必要完善信息披露制度，減少信息不對(duì)稱的負(fù)面影響，提高大宗交易平臺(tái)的使用率以及對(duì)我國(guó)大宗交易制度進(jìn)行改善。
[Abstract]:Compared with the common trading mode, the bulk trading system has the advantages of more flexible pricing, lower transaction cost and higher transaction efficiency. There are few researches on bulk trading in China, especially lack of empirical research on bulk trading. This paper will use the data of bulk trading platform to discuss the bulk trading. This paper mainly studies the influence of price and liquidity of bulk trading. The research methods used are event analysis and multivariate regression analysis. The results show that the buying and selling drivers have different price effects. Before the bulk buying, the stock prices show obvious signs of rising, and after the bulk selling, the stock prices will have a significant decline; By dividing stocks into three groups according to the total size of equity, we find that the price impact of small stocks is the most obvious; by dividing the discount premium rate of bulk trading prices into five groups according to the range from high to low, It is found that there is a positive correlation between the discount premium rate of bulk trading and the price effect of bulk trading, and by studying the liquidity effect of bulk trading, we find that the influence of bulk buying and selling on stock liquidity is similar. Prior to big trading, liquidity levels in stocks would rise, and liquidity levels would fall after big trading. At the end of this paper, some suggestions are put forward on the market supervision in China. For example, it is necessary for the CSRC to improve the information disclosure system and reduce the negative impact of information asymmetry. Improve the use of bulk trading platform and improve the bulk trading system in China.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前8條

1 黃常忠,李錚;試析大宗交易對(duì)股市流動(dòng)性的影響[J];北京工商大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2005年01期

2 朱璽;滬、深兩市大宗交易制度演進(jìn)及市場(chǎng)交易特征[J];財(cái)經(jīng)科學(xué);2004年02期

3 余曉明;;專業(yè)系統(tǒng)大宗交易事件對(duì)二級(jí)市場(chǎng)影響的實(shí)證研究[J];上海管理科學(xué);2009年03期

4 張丹;楊朝軍;夏秋霜;趙占超;;我國(guó)大宗交易股票流動(dòng)性價(jià)值研究[J];上海交通大學(xué)學(xué)報(bào);2010年03期

5 余曉明;陳曄;謝琳;;不同市場(chǎng)環(huán)境下大宗交易事件對(duì)二級(jí)市場(chǎng)的影響研究[J];現(xiàn)代管理科學(xué);2010年09期

6 徐輝;廖士光;;交易所大宗交易流動(dòng)性折價(jià)研究——來(lái)自滬深交易所的經(jīng)驗(yàn)證據(jù)[J];證券市場(chǎng)導(dǎo)報(bào);2007年11期

7 王茂斌;馮建芬;;大額交易與市場(chǎng)流動(dòng)性研究——來(lái)自中國(guó)證券市場(chǎng)的經(jīng)驗(yàn)證據(jù)[J];證券市場(chǎng)導(dǎo)報(bào);2008年11期

8 馮建芬;王茂斌;;不同市場(chǎng)環(huán)境下的大額交易與非對(duì)稱市場(chǎng)沖擊[J];證券市場(chǎng)導(dǎo)報(bào);2012年06期

本文編號(hào)：1962602