本文關(guān)鍵詞：中國證券市場大宗交易信號傳遞效應(yīng)的實證研究　出處：《江西財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 大宗交易 信息不對稱 信號傳遞

【摘要】：自1990年深圳證券交易所開始試運作以來，中國證券市場已走過了23年的發(fā)展歷程，為中國企業(yè)和經(jīng)濟(jì)體制改革、社會轉(zhuǎn)型和市場經(jīng)濟(jì)的發(fā)展做出了卓越的貢獻(xiàn)。但我國證券市場的健康發(fā)展問題一直被人們所關(guān)注，“消息市”、“投機(jī)市”成為困擾證券市場發(fā)展的詬病，信息不對稱現(xiàn)象的廣泛存在嚴(yán)重影響了市場交易行為和市場效率。大宗交易作為證券市場的特殊交易機(jī)制，是對普通交易機(jī)制的有益補充，其交易主體的特殊性，使得大宗交易平臺成為了信息優(yōu)勢方的交易場所，其擁有的信息顯然多于普通投資。若大宗交易能作為有效的信號傳遞方式，必然能為改善我國資本市場信息不對稱現(xiàn)象、避免逆向選擇做出貢獻(xiàn)。 目前，我國學(xué)者對于大宗交易的研究多集中在大宗交易制度和大宗交易價格方面，從信號傳遞角度進(jìn)行的探討較少；且由于我國大宗交易平臺自2008年起才開始真正活躍，至今不過五年之余，因此目前學(xué)者們對于大宗交易的大樣本分析并不多。本文對中國證券市場大宗交易信號傳遞效應(yīng)進(jìn)行實證研究，并選取了2008年4月20日至2012年6月31日大樣本數(shù)據(jù)進(jìn)行整體和分組分析，具有一定的理論意義和現(xiàn)實價值。 本文首先梳理了信號傳遞理論、大宗交易理論，分析了中國大宗交易制度的特點和現(xiàn)狀，然后以理論為基礎(chǔ)，以現(xiàn)實背景為依據(jù)提出了文章的假設(shè)，并運用事件研究法，對我國證券市場大宗交易信號傳遞效應(yīng)進(jìn)行了系統(tǒng)研究和分析。筆者分別考察了（1）普通投資者對于整個市場大宗交易短期直觀的反應(yīng)；（2）普通投資者對于整個市場大宗交易中長期理性的反應(yīng)；（3）普通投資者對于大宗交易中不同價格信息的反應(yīng)，得出了以下結(jié)論：（1）市場對于大宗交易信號的短期直觀的反應(yīng)為負(fù)，大宗交易事件后窗口期的累積異常收益率持續(xù)走低；（2）市場對于大宗交易信號中長期理性的反應(yīng)為負(fù)，大宗交易事件后180天的累積異常收益率顯著為負(fù)，投資者對大宗交易披露信息的短期負(fù)面反應(yīng)是理性的；（3）市場對于不同價格分組的大宗交易反應(yīng)方向一致，即為負(fù)，且事件前后的反應(yīng)程度不同。事件日及事件日前，溢價率樣本組的異常收益率反應(yīng)顯著；事件后，折價率高的樣本組異常收益率反應(yīng)顯著；（4）中國證券市場大宗交易是負(fù)面信號的傳遞；（5）大宗交易事件前至事件日存在異常收益率。大宗交易市場中存在著信息優(yōu)勢方利用信息優(yōu)勢做出有利于自身利益的事情或者選擇更好的時點進(jìn)行交易的行為，大宗交易市場上存在著內(nèi)幕交易或市場操縱的嫌疑。最后，本文結(jié)合我國大宗交易的特殊背景提出對策和建議，希望能對我國證券市場的健康發(fā)展略進(jìn)綿薄之力。 本文對于我國證券市場大宗交易信號傳遞效應(yīng)的研究只是一次簡單的探索，雖然在某些方面得出了一些有益的結(jié)論，但仍存在著不足。主要表現(xiàn)在：第一，，本文驗證了中國證券市場大宗交易信息負(fù)指示的效應(yīng)，但由于樣本篩選限制，無法區(qū)分交易雙方的身份信息，因此無法進(jìn)一步對不同方向的“信號”進(jìn)行甄別；第二，本文未能通過合適變量的回歸分析來解釋異常收益率的來源。這些不足將成為筆者今后對該問題進(jìn)行深入研究的方向。
[Abstract]:Since 1990, the Shenzhen Stock Exchange began trial operation, Chinese securities market has gone through 23 years of development, as Chinese enterprise and economic system reform, has made outstanding contributions to the development of society and market economy. But the healthy development of the securities market in China has been of concern to the people, "the news" "speculation" has hindered the development of the securities market are widely criticized, the existence of information asymmetry phenomenon has seriously affected the market trading behavior and market efficiency. As a special commodity trading stock market trading mechanism, is a useful supplement to the general trading mechanism, the particularity of the main transaction, the bulk trading platform has become the information superiority trading places, having information obviously than ordinary investment. If the bulk of transactions can serve as an effective way of signal transduction, must be able to improve China's capital market information Symmetry is a phenomenon that avoids the contribution of adverse selection.
At present, Chinese scholars mainly focus on the block trading block trading system and commodity trading prices, discussed from the angle of the signal transmission is less; and because of Chinese bulk trading platform since 2008 began to really active, but has more than five years, because of the current scholars for large sample block trading the analysis is not much. The bulk trading Chinese stock market signaling effect of empirical research, and from April 20, 2008 to June 31, 2012 the overall sample data and packet analysis, has a certain theoretical significance and practical value.
This paper first analyzes the signal transmission theory, block trading theory, analyses the characteristics and status of Chinese block trading system, based on the theory of the realistic background as the basis, put forward the hypothesis, and using the event study method, for the bulk of transactions in China's securities market signaling effect are researched and analyzed. The author were investigated (1) for ordinary investors short-term intuitive block trading market as a whole; (2) ordinary investors for long-term rational response to block trading market as a whole; (3) ordinary investors for different price information in large transactions, draws the following conclusions: (1) the market for bulk short-term trading signals direct response to negative events after the cumulative abnormal returns of bulk trading window period rate continued to decline; (2) the market for long-term rational response to the negative signal block trading, Block trading cumulative abnormal returns for 180 days after the incident rate is significantly negative, investors in the bulk trading information disclosure of short term negative reaction is rational; (3) the market for bulk trading price favorable response direction different groups, namely negative reaction degree and different before and after the event. The event date and event before the exception income premium rate sample rate was significantly; after the incident, the discount rate of the sample group abnormal returns high reaction rate significantly; (4) bulk trading Chinese securities market is sending a negative signal; (5) large transactions before the event to the event on the abnormal return rate. Block there is information advantage to the interests of the things or choose a better point trading behavior easily take advantage of the information market, the wholesale trading market exists for insider trading or market manipulation. At last, this article unifies our country The special background of the bulk transaction puts forward the countermeasures and suggestions, hoping to make a slight effort to the healthy development of the securities market in our country.
The study on commodity transactions in China's securities market signaling effect just a simple exploration, although in some aspects and some conclusions are obtained, but there are still shortcomings. The main features: first, this paper verified the effect of Chinese stock market a big deal of information indicating negative, but due to limited sample selection, not the identity of the two sides to distinguish between transaction information, so no further screening of different directions of the "signal"; second, we could not through regression analysis to explain the suitable variable source of abnormal returns. These problems will become the future of the in-depth research.

【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前7條

1 朱璽;滬、深兩市大宗交易制度演進(jìn)及市場交易特征[J];財經(jīng)科學(xué);2004年02期

2 孔小文,于笑坤;上市公司股利政策信號傳遞效應(yīng)的實證分析[J];管理世界;2003年06期

3 王志誠,張翼;大宗股權(quán)轉(zhuǎn)讓和公司控制[J];管理世界;2004年05期

4 吳梅蘭;劉勤志;;關(guān)于信息不對稱問題的研究[J];情報雜志;2006年06期

5 楊朝軍,蔡明超,劉波;中國股票市場信息傳遞效率實證分析[J];上海交通大學(xué)學(xué)報;2000年11期

6 任海艦;;2009年股票限售股解禁“大小限”影響分析[J];天津經(jīng)濟(jì);2009年05期

7 段瑞強(qiáng);金融市場的事件研究方法[J];統(tǒng)計與決策;2004年02期

相關(guān)博士學(xué)位論文 前2條

1 林俊波;證券市場信息傳導(dǎo)機(jī)制與信息披露制度研究[D];浙江大學(xué);2005年

2 廖士光;中國證券市場流動性價值問題研究[D];上海交通大學(xué);2007年

相關(guān)碩士學(xué)位論文 前1條

1 謝貞聯(lián);大宗交易對股票價格和流動性的影響[D];暨南大學(xué);2007年

本文編號：1391217