供给冲击的股价效应:来自创业板限售股解禁的证据  

The Effects of Supply Shocks on Stock Price:Evidence from Lockup Expiration of Restricted Shares on GEM

作　　者：黄顺武[1] 刘进[1] 

机构地区：[1]合肥工业大学经济学院,安徽合肥230601

出　　处：《金融经济学研究》2013年第5期97-108,共12页Financial Economics Research

基　　金：中央高校基本科研业务费专项基金项目(2012HGXJ0083);安徽省软科学重点项目(2011AKRK0987)

摘　　要：基于创业板313只股票的545次限售股锁定期解禁事件,运用事件分析和横截面回归分析法研究了供给冲击的价格效应。事件研究发现:在第一次解禁的窗口期,累计异常收益率呈现出典型的V形波动特征,而第二次则表现出由负转正的变化形态;两次解禁的股份占比和异常收益率均存在显著差异,但交易量差异不显著。横截面回归结果显示:第一次供给冲击产生了显著为负的价格效应,但第二次供给冲击的价格效应不显著;企业规模和交易活跃程度显著正向地影响股价,但股权集中度与有无风险投资对股价没有显著影响。This paper studies the effects of supply shocks on stock price with Event Study Method and Cross-sectional Regression ,based on 545 samples of lock-up period expiration of 313 companies of GEM. Event Study finds that cumulative abnormal returns show typical V-shaped fluctuation characteristics in the window period of the first lockup expira- tion and the morphology changes from negative to positive in the second one. There exists significant differences on abnormal returns and the volume of lockup expiration for the twice, but the trading volume has no significant one. Regression results show that the first supply shocks have significant negative price effect, but the second not. Firm size and trading activity have significant positive impacts on stock price, but ownership concentration and the presence or absence of venture capital have no significant ones.

关 键 词：供给冲击 限售股解禁 异常收益率 创业板 

分 类 号：F832.5[经济管理—金融学]