【摘要】：股權(quán)分置是指我國股票市場上存在的流通股與非流通股分裂的現(xiàn)象,2005年4月29日,經(jīng)國務(wù)院批準(zhǔn),我國股權(quán)分置改革試點工作正式啟動。這是我國股票市場的一次重大制度改革,它解禁了市場上三分之二的非流動股,這必然對證券市場造成沖擊。國內(nèi)學(xué)術(shù)界對股改的研究主要集中于對價水平及股東權(quán)益保護(hù)方面,本文選擇金融市場視角,直接通過數(shù)據(jù)來分析股改信息給股市帶來的影響。本文選取股票流動性及收益波動性兩個角度,采用投資組合的方法,通過對不同市場的考察,來分析股改這一事件的前期、中期、后期,市場換手率、非流動性以及收益率方差的變化情況。采用平權(quán)和加權(quán)的方法,來考察創(chuàng)業(yè)板的成立對平均收益率方差變化的影響程度。研究發(fā)現(xiàn),換手率與市值無關(guān),非流動性和收益率方差與市值負(fù)相關(guān)；市值大的股票流動性高于市值小的股票,其收益波動性小于市值小的股票；股改前、中、后期,股票換手率逐漸提高,非流動性顯著減��；股改使得短期內(nèi)股票的平均收益波動率降低,但長期內(nèi)由于新上市公司的加入,特別是創(chuàng)業(yè)板股票的加入,股票平均收益波動率出現(xiàn)略微上升的現(xiàn)象�？偟膩碚f,股權(quán)分置改革顯著提高了股市的流動性,降低了股市的收益波動性,且這些改善都具有長期有效性。
[Abstract]:Split share structure refers to the split between tradable and non-tradable shares in the stock market in China. On April 29, 2005, with the approval of the State Council, the pilot work of split share structure reform in China was officially started. This is a major institutional reform in China's stock market, which has lifted the ban on 2/3 non-current shares in the market, which is bound to impact the securities market. Domestic academic circles mainly focus on the consideration level and the protection of shareholders' rights and interests. This paper chooses the financial market perspective to analyze the impact of stock reform information on the stock market directly through the data. This article selects stock liquidity and return volatility two angles, adopts the investment portfolio method, through the inspection to the different market, analyzes the stock reform this event early, the medium, the later, the market turnover rate, Changes in illiquidity and yield variance. The influence of the establishment of the gem on the variance of the average return is investigated by using the method of equal weight and weight. The study found that turnover rate has nothing to do with market capitalization, while illiquidity and variance of return are negatively correlated with market capitalization. The liquidity of stocks with large market capitalization is higher than that of stocks with small market capitalization, and its return volatility is less than that of stocks with small market capitalization. The stock turnover rate gradually increases, and the illiquidity decreases significantly. The stock reform reduces the volatility of the average return of the stock in the short term, but in the long run, due to the entry of the new listed companies, especially the gem stock, The stock average return volatility appears the phenomenon that rises slightly. On the whole, the split share structure reform has significantly increased the liquidity of the stock market and reduced the volatility of the stock market returns, and these improvements have long-term validity.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳蛇,陳朝龍;股權(quán)分置改革的表決機制為何引發(fā)市場異常波動[J];財經(jīng)科學(xué);2005年04期

2 喬志城;劉丹;;股權(quán)分置改革與公司治理——二階委托代理框架的視角[J];財經(jīng)問題研究;2007年02期

3 羅曉東;張曉明;;上市公司股權(quán)分置改革首批試點公司改革方案評價[J];財會月刊;2005年30期

4 吳曉求;股權(quán)流動性分裂的八大危害——中國資本市場為什么必須進(jìn)行全流通變革[J];財貿(mào)經(jīng)濟(jì);2004年05期

5 謝庚;完善資本市場體系 推動中小企業(yè)發(fā)展[J];中國創(chuàng)業(yè)投資與高科技;2004年07期

6 楊建平;李曉莉;;股權(quán)分置改革與分類表決機制[J];中北大學(xué)學(xué)報(社會科學(xué)版);2005年06期

7 馬向前,任若恩;基于市場效率的中國股市波動和發(fā)展階段劃分[J];經(jīng)濟(jì)科學(xué);2002年01期

8 胡波,宋文力,張宇光;中國證券市場有效性實證分析[J];經(jīng)濟(jì)理論與經(jīng)濟(jì)管理;2002年07期

9 史春沛;鄧幼強;;當(dāng)前股改方案對價水平分析[J];經(jīng)濟(jì)師;2006年01期

10 敬景程;論有限理性與股權(quán)分置問題[J];經(jīng)濟(jì)問題探索;2004年12期

相關(guān)博士學(xué)位論文 前1條

1 陳睿;股權(quán)分置改革中的市場微觀結(jié)構(gòu)分析[D];華中科技大學(xué);2007年

，

本文編號：2268218