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论文编号：	7494
作者编号：	2120132418
上传时间：	2015/6/10 21:21:13
中文题目：	创业板限售股解禁的市场反应研究
英文题目：	Empirical research on the market response to circuilating the restricted shares from China Growth Enterprise Market
指导老师：	齐岳
中文关键字：	创业板；限售股；解禁；事件研究法；市场反应
英文关键字：	GEM; restricted shares; expiration of IPO lockup; event study; market reponse
中文摘要：	面对国内投资者较弱的抗风险能力和市场不稳定性，创业板在建立初期进行了限售股的制度安排以保护中小投资者的利益。然而自创业板开板以来，限售股解禁成为了压在创业板市场各方主体心头的一块巨石。创业板从建立之初，“三高”问题就一直被广为诟病，相比海外创业板诸如美国的纳斯达克、香港创业板等，国内创业板的市盈率要高出很多，超募现象较为严重，在这种情况下限售股解禁后被减持的可能性就非常大。本文之所以选择创业板市场而非主板市场研究解禁的市场反应问题，是由于创业板在我国资本市场的独特地位与影响力，创业板变化程度与中小投资者的利益密切相关。 本文采用事件研究法，分析了创业板从2012到2014年限售股解禁对上市公司样本股价的影响。文中选取解禁流通日为事件发生日，选取解禁发生日前10个与后20个共31个交易日作为事件窗口期，采用市场模型运用stata软件得到解禁窗口期的超额收益率与累积超额收益率，并结合AR和CAR的均值图和中值图对事件反应进行分析检验。文中首先针对3年间总体243个解禁事件进行了统计分析，其次根据年份、市值、市场环境3个参数对样本进行了分组，对不同年份、不同市值以及不同市场环境下的创业板上市公司样本组进行了统计分析，最后针对创业板重点的五大行业组进行分行业统计，并将行业表现与市场总体表现相比较，进一步探究不同行业上市公司对解禁事件的反应情况与市场总体的差别。 通过研究本文得出以下结论：2012-2014年间限售股解禁流通的市场总体反应没有明显的负效应，总体股价呈上涨趋势；2012年限售股解禁对市场产生显著地负效应，即解禁事件造成了股价下跌；而2013年与2014年限售股解禁市场反应累积超额收益率为正值，解禁事件不但没有对股价产生负效应，反而促使股价出现上涨；牛市环境下解禁事件对股价存在正效应，熊市环境下解禁事件对市场存在明显的负效应；高市值公司与低市值公司对解禁事件总体反应没有显著差别，但解禁日后高市值公司股价上涨幅度高于低市值公司。根据理论分析，若创业板市场对解禁事件信号有足够敏感度，那么解禁后股价的下降幅度应当远大于实证得出的结果，而且解禁日当天超额回报率也应为负值。因此，依据实证分析我们可判断创业板市场总体并没有对解禁事件足够关注。从行业分类研究来看，原材料、工业、消费者相机选购品行业的市场反应比总体下跌幅度明显，医疗保健行业负效应要弱于总体，而信息科技行业区别于市场总体和其他行业，对解禁事件完全没有负效应。各行业出现反应的差异与各行业的业务类型、企业结构等等因素相关。
英文摘要：	During the initial stage of the GEM establishment, faced with the fact that Chinese investors lack the ability to resist risk and the market is not stable, restricted shares system is set to protect small investors’ interest. However, since the GEM was set up, the IPO lockup expiration concerns almost all investors all the time. Compared to foreign GEMs, such as the U.S. Nasdaq, Hong Kong GEM and so on, the PE of Chinese GEM is much higher, and the funds it raised is much more than planned. In such case, the possibility of selling shares after IPO lockup expiration is large. The reason that the article chose the GEM rather than the main market to analyze the market response to the IPO lockups expiration is the great importance of the GEM. The change of GEM and the interests of investors are closely related. In this paper, we analyze the market response of listed companies during 2012 to 2014 in GEM to the expiration of IPO lockup through the event study method. We chose the day of the expiration as the event day, and chose the 10 days before and 20 days after the event day as the event window. We calculate the abnormal returns (AR) and cumulative abnormal returns (CAR) according to the market model, then draw the graphs about AR and CAR to help analyze the market response. Firstly, we examine 243 share lockup of the whole sample; Secondly, we divide samples into different groups according to the year of event, market value and market circumstances, then analyze the market response of different samples by groups; Lastly, we chose the main five industries of the GEM to calculate, and compare each type with the whole market sample to find more differences. We get sevral conclusions through the whole analysis: In all, the market response to the IPO lockup expiration from 2012 to 2014 is not significant, the price of share increases when the restricted shares are allowed to be circulated. However, the market response to the expiration of IPO lockup in 2012 is negative, which is consistent with the expectations hypothesis. The accumulated abnormal return is negative, which means the price of shares fall. The market response to the expiration of IPO share lockup in 2013 and 2014 is positive, which is contrary to the expectations hypothesis. The accumulated abnormal return is positive, which means the price of shares increases. In a bull market, the market response to the of IPO lockup expiration is positive, however, the response is contrary negative in a bear market; The market response of listed companies with high market value is similar with ones with low market value. But the CAR of different companies after the event day go differently. As we analyzed before, the response to the IPO lockup expiration should not decline as little as we examined and the average abnormal return in the day of the expiration will be negative if the market is sufficient sensitive. According to the analysis we’ve done before, we can judge that the whole Chinese GEM do not has a sufficient concern about IPO lockup expiration especially during the bull market. In the analysis for different industries samples, we found that the response of the raw material and the industry type is more negative than the whole GEM; the medicine and medical type is more positive than the whole GEM; and the IT industry is entirely different from the whole market and the other industries. There are a lot of elements for such differences such as the type of service, company structure, etc.
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