“小非”减持影响了市场质量吗？--基于沪深股市的实证  

Will the Subtraction of Small-scale Non-circulation Affect Market Quality?——Empirical Research of Shanghai and Shenzhen Stock Market

作　　者：陈晓红[1] 周颖[1,2] 佘坚[3] 

机构地区：[1]中南大学商学院,湖南长沙410083 [2]千叶工业大学,日本千叶2750016 [3]深圳证券交易所博士后工作站,广东深圳518000

出　　处：《系统工程》2008年第8期46-55,共10页Systems Engineering

基　　金：国家自然科学基金重点资助项目(70631004);国家软科学项目(052k5007);湖南省社会科学基金资助项目(05JD18)

摘　　要：随着我国资本市场步入后股改阶段,"小非"减持套现速度不断增加,"小非"减持是否影响市场质量,哪些公司受其影响显著等一系列问题越来越受社会关注。本文以已完成股权分置改革的400多家公司为样本,从样本总体、公司所在市场、公司规模、市盈率、公司的控制人、股改流通比例、股改时间等不同的角度将样本分成不同的样本组进行实证对比研究,实证结果显示样本的股价的波动性受"小非"减持在资本市场上有不同程度的体现,一些样本公司有显著性波动。With Chinese capital market stepping into the posterior stage of back Non-tradable share reform, the speed of the subtraction of small-scale non-circulation is increasing. Will the subtraction of small-scale non-circulation affect market quality？ Which companies are affected by this reform？ A series of problems like these are concerned by the societh. We col- lect a sample of 435 companies which have finished the non-tradable share reform, and make comparison between different groups classified according to sample population, market in which the campany is in, companies＇ scale, ROE, the controller of companies, the proportion of share-circulation, the time of share circulation reform. The Empirical research results show that the volatility of stock price of the sample affected by the subtraction of small-scale non-circulation appears at different levels in capital market. Some sample companies show significant volatility.

关 键 词：“小非”减持 波动性 事件法 

分 类 号：F830[经济管理—金融学]