中国创业板限售股解禁效应研究.pdfVIP

摘 要 股改限售股解禁成为 A 股市场进入熊市的导火索，首发限售股解禁为创业板市场投资 者带来了风险。目前，创业板首批上市公司的控股股东限售股即将过了三年的限售期。因 此，无论从总结目前限售股解禁存在的问题出发，或是基于为投资者更好地应对控股股东 限售股解禁提供参考，研究限售股解禁效应都具有重要的现实意义。 本文以金融市场微观结构理论为基础，以深圳创业板股票分笔高频数据为样本，运用 价差分解模型(MRR，1997)计算逆向选择成分，以此作为衡量市场信息不对称的指标，并 选取异常收益率、异常成交量为衡量指标，从微观层次分析了限售股解禁对股票价格、交 易量、及信息不对称的影响。 研究结果显示，在解禁前，股票的异常收益率显著为负，成交量没有显著变化；解禁 后，股票的异常收益率显著为正，异常成交量显著增大。解禁后，逆向选择成本显著下降。 文章进一步根据抑价率、发行市盈率、市场周期和股票价格这四个因素对样本分别进行分 组，研究在不同的子样本里限售股解禁对逆向选择成本的影响。 最后本文在对实证结果进行总结的基础上，试图从改革发行制度、退市制度、以及完 善监管制度三个方面提出政策建议。 关键字：IPO 限售股，解禁，价差分解，逆向选择，信息不对称 I Abstract The non-tradable shares from the reformation caused the Chinese stock enter into bear market. The non-tradable shares from the Initial Public Offering in GEM market bring risk to investors as well. Now the lockup agreements of the controlling shareholders are going to pass the 3 years lock-up period. Therefore，base on summarizing the current problems from lock-up expiry ，or providing reference to the investors for analyzing the risk from the lock-up expiry of the controlling shareholders，it is meaningful to make a research about the effect on the market from the lock-up expiry . We take financial market micro structure theory as basement ，high frequency data from GEM market as sample. Then we use MRR model to decompose the bid-ask spread into transaction cost and adverse selection cost ，which we took as the index variable of the information asymmetry of market. We also exam the effects on the price，volume from the IPO lock up expiries. The result shows that lockup expiry causes an increase in price before the date of expiry ， and the price is stable after the date of expiry. There is significant increase in the trading volume after expiry. After