基于实证研究探讨我国后股改时代.docxVIP

基于实证研究探讨我国后股改时代“大小非解禁”的市场影响 Empirical studies on the “da xiao fei jie jin^of share-trading reform 院专姓学°理学院to discuss the market influence in China 院专姓 学 °理学院 业 财务管理 名 李文斌 号 012004021706 指导老师 2008年6月 摘要 自2007年10月16日开始的A股人调整以急速下跌的形态展开。在5个半月的吋间内 上证综指从最高6124点下跌至2008年3月31日的最低3472点，跌幅高达43. 31%。今年 年初的大盘的急剧下跌使得很多投资者将才头指向了解冻后减持的人小非，认为正是这个原 因导致了股市的雪上加霜，于是呼吁限制大小非解禁的行为。市场在下跌、犬小非的解禁的 确给市场带來了压力，这个是事实，但是我们担忧所造成的心理影响远大于市场所表现的负 而影响。 本文从理论和实证两方而研究“大小非解禁”对于山场的影响，探寻其负面效应以及影 响程度,实证分析以2007年4月,2007年10月以及2008年3月公告“大小非解禁”股的 138个屮国A股上市企业事件为研究样本，对其进行山场异常收益及其影响因索进行多变量 冋归分析，并从供需平衡、托宾Q等理论角度加以解释，力图从实证研究的角度來解读股权 分宜改革后期（后股改时代）人小非解禁的影响。 关键词：大小非解禁股权分置改革人小非减持 Abstract The starting of the A-share adjusted to the rapid drop since October 16, 2007.In five and a half months of time SH from 6124 the highest point down to the minimum 3472(March 31, 2008), drop as high as 43.31 percent. Early this year the markets sharp fall makes a lot of investors target a thaw after the reduction of the size-一that is why the stock market has led to the worse, therefore words appeal to limit the size of the non-lifting of the ban coming around. The market is falling, the size of the non-lifting of the ban is brought to press the market, this is tme, but we are worried about the psychological impact much greater than the market performanee of the negative impact. This paper from both theoretical and empirical research to study nthe size of non-lifting of the ban s impact of the market, exploring its negative effect and impact , empirical analysis study samples of the inciden to the 138 Chinese A-share listed companies unit of April 2007, October 2007 and March 2008 Notice size of the non-lifting of the ban” to 、their earnings and their impact on the market abnormal factors multivariate regression analysis, and from the supply-demand balance, Tobins Q, and other theory to explain, in a bid to empirical research from the perspective of Interpretation After the size of shares to non-lifting of the ban during the impa