公司特征、股权结构与股票流动性：基于创业板市场的研究设计论文.docVIP

公司特征、股权结构与股票流动性：基于创业板市场的研究 金融学专业邬超（099114212）指导教师黄永兴教授 摘要 股票流动性是金融市场微观结构的核心议题，其影响因素问题受到人们的广泛关 注。学术界对股票流动性问题的研究大部分集中于主板市场，创业板市场与主板市场 有着显著区别，单独研究创业板市场股票流动性的影响因素更有必要性。基于创业板 市场的内在特性，从上市公司特征和股权结构两个方面出发，研究两者与股票流动性 的相关关系，对于促进我国创业板市场健康快速发展具有重要意义。 本文从创业板 355家上市公司中随机抽取 96家公司为样本，以上市公司 2012 年度年报为数据源，采用有效流速的方法构建流动性指标作为因变量，选取公司规模、 公司偿债能力、盈利能力、成长能力以及第一大股东持股比例、股权集中度、股权制 衡度、高管持股比例和机构持股比例 9个指标作为自变量，采用岭回归分析法构建回 归模型，通过对回归系数的分析表明：公司规模、高管、机构持股与股票流动性呈负 相关关系；公司偿债能力、盈利能力、成长能力、第一大股东持股、股权集中度和股 权制衡度与股票流动性呈正相关关系。其中，机构持股、股权集中度与股票流动性的 相关性较强。根据研究结果，文章最后对促进我国创业板市场健康快速发展提出了相 关政策性建议。 关键词：公司特征；股权结构；股票流动性；创业板 共 61页第 1页 Abstract Stock liquidity is a major topic of financial market microstructure theory. Researchers have paid much attention to the determinants of stock liquidity.Academic study of stock liquidity problems most focused on the main board market.With a significant difference between gem and main board market,study of the growth enterprise market alone is more need for the influence factors of stock liquidity.Based on the inherent characteristics of the gem,the article studies the relation among characteristics, shareholding structure and stock liquidity from two aspects, which is of great significance to promote rapid and healthy development of the gem. This article randomly selects 96 companies in 355 listed companies as samples from the gem. The data source is the annual report of listed companies in 2012.The article uses effective velocity method to construct the liquidity as the dependent variable,and selects the company size, companys debt paying ability, profit ability, growth ability, and the first big shareholders holding, equity structure and equity balance degree and executives, institutional holding a total of nine indicators as independent variables. Then building regression model with the method of ridge regression analysis. Through the analysis of regression coefficients show that the company