中国银行业股改对A股银行股的影响  

The Empirical Research on the Effects of China's Banking Non-tradable Share (NTS) Reform to Banking Stocks in China's A-share Market

作　　者：张力洋[1] 

机构地区：[1]伦敦政治经济学院金融系

出　　处：《华东经济管理》2013年第12期99-104,共6页East China Economic Management

摘　　要：非流通股的存在是中国资本市场的一个特殊之处。文章探讨了中国银行业股改对A股银行股的影响。文章将样本分为国有商业银行和股份制商业银行两组,并对以下方面进行研究:计算并检验累积超额收益率(CAR)的显著性,发现多数银行股在股改期间获得了显著的正的累积异常收益率;利用GARCH(1,1)模型,证明改革对波动率并无太大影响;检验系统性风险在事件前后的变化,表明股改后CAPM解释国有商业银行股表现能力的提高,与股份制商业银行的情况较为接近;展示一些财务指标在股改的影响下有了持续渐进的改善。总的来说,尽管改革产生了正面影响,仍有一些问题在改革中亟待解决。The existence of non-tradable shares （NTS） is a unique teature of the China＇s capital market. This paper discuss- es the effects of China＇s NTS reform to banking stocks in China＇s A-share market. It divides the samples into state-owned commercial bank （SOCB） group and joint stock commercial bank （JSCB） group and do research on the following aspects： cal- culate and test the significance of CAR （Cumulative Abnormal Return）, and find that the majority of bank stocks gain signifi- cant positive CAR during the reform period; use GARCH （1.1） to demonstrate that the reform has little effect on volatility; test the systematic risk before and after event, and show that CAPM explain the performance of SOCB stocks more powerful- ly after the reform, which is more similar to JSCB stocks; display that some financial indicators improve gradually and contin- uously under the influence of the reform. Although the reform generates a positive efl＇ect in general, some problems revealed in the reform should be resolved.

关 键 词：股改 累积超额收益率 波动率 Β系数 

分 类 号：F832[经济管理—金融学]