摘要
股权分置改革是克服我国股票同股不同权的特有现象而进行的一场改革,然而,改革提高市场流动性目标了吗?基于理性预期框架,建立了一个指令驱动系统交易机制下考虑股权分置的信息模型,并通过分析得出基本假设,从理论上论证股权分置改革对流动性产生的影响.然后通过构造差分模型,以沪市607家公司作为样本对理论假设进行实证检验.研究发现:实施股权分置改革公司的流动性会高于没有进行股改的公司,股权分置改革取得了改善流动性的效果.
Split-share structure stock is without coequal power. reform is to overcome China＇s Has the reform achieved the phenomenon that the same expected object of market liquidity？ Based on the rational expectations framework, this paper establishes an infor- mation model considering split-share structure under the order-driven system, and obtains theoretical hypotheses by By analyzing the model . In order to confirm assumptions, then theoretical hypotheses are empirically tested using a sample of SSE＇607 companies. We find that company liquidity that has carried out Split-Share Structure reform is higher that com- pany not to split-share structure reform, split-share structure reform can raise the level of liquidity.
出处
《数学的实践与认识》
CSCD
北大核心
2011年第5期25-34,共10页
Mathematics in Practice and Theory
关键词
股权分置改革
流动性
换手率
split-share structure reform
liquidity
turnover rate
