摘要
运用我国2017年A股市场的股票行情数据,本文建立双重差分模型,实证检验"减持新规"对大宗交易市场筛选股票能力的影响。结果发现:大宗交易市场相比于整体市场可初步筛选出表现相对好的股票;减持新规的实施对大宗交易市场筛选股票的能力有正面影响,使样本期间大宗交易市场筛选股票的能力提高了1.163个百分点。进一步研究影响减持新规实施效果的因素,发现公司盈利能力不是该次新政策颁布后大宗交易市场股票收益率显著提高的原因。一系列稳健性检验也都基本支持这些结论。本文结论不仅能为广大投资者带来投资决策指导,也说明减持新规的颁布能有效保护投资者利益,进一步完善了资本市场的制度建设。
This paper constructs differences-in differences model and examines the impact of the "New Regulation of Shareholding Reduction"(policy)on block trading market by using data of China's A-share stock market in 2017.The research shows that,the block trading market can select relatively good stocks and the policy enhances the ability of the block trading market to select good stocks by 1.163points.Furthermore,study reveals that companies'profitability doesn't account for stock returns increasing in the block trading market after the policy promulgated.Robustness tests also support the results.Not only do these conclusions provide investment guidance,but they also demonstrate that the policy effectively protect investors'rights and further strengthen capital market system.
作者
唐齐鸣
赵传玺
赵袁军
Tang Qiming;Zhao Chuanxi;Zhao Yuanjun
出处
《证券市场导报》
CSSCI
北大核心
2018年第12期41-47,共7页
Securities Market Herald
基金
国家自然科学基金"利率市场化下的系统性风险与宏观审慎监管"(项目编号:71473092)的资助
关键词
减持新规
大宗交易
双重差分模型
选股能力
new regulation of shareholding reduction
block trading market
differences-in-differences
stock selection ability
