大股东减持的市场反应与影响因素——基于市场氛围的研究  

Market Effect of Large Shareholders' Reduction and Its Determinants——A Study Based on Market Environment

作　　者：刘亚莉[1] 王微[1] 

机构地区：[1]北京科技大学经济管理学院,北京100083

出　　处：《北京科技大学学报（社会科学版）》2010年第2期40-46,共7页Journal of University of Science and Technology Beijing(Social Sciences Edition)

基　　金：国家社科基金(项目编号:09BJY016);中央高校基本科研业务费专项资金资助

摘　　要：文章以中国A股市场的数据,基于市场氛围对大小非减持的市场反应程度及影响因素进行了全面的观察与测度。研究发现大股东减持行为的确产生了短期的市场财富效应。大股东减持幅度与短期市场财富效应负相关,在股市上涨的市场环境中表现更为显著。公司投资价值与短期市场财富效应显著相关,但影响方向并不一致,投资者表现出偏好逆转现象,说明影响投资者决策的因素是复杂的,我国资本市场投资者理性有限。This paper,based on market environment,studies the market effect of large shareholders＇reducing holdings and determinants in Chinese capital market.It is found that in a short-term,large shareholders＇reduction really has a wealth effect.The degree of large shareholders＇ reduction has a significant negative influence on the degree of wealth effect,especially in an increasing market environment.The investing value of companies reduced also significantly affects the degree of wealth effect,however,the results are not consistent.The investors＇preference reversal is influenced by complex factors and their rationality is limited.

关 键 词：大股东减持 市场反应 市场氛围 影响因素 投资者理性 

分 类 号：F123.16[经济管理—世界经济]