伞形信托持股对所持股票影响的实证研究  

The Empirical Research on the Influence of Umbrella Trust Shareholding on the Stock

作　　者：贺显南[1] 刘伟[1] HE Xian-nan LIU Wei(School of Finanee, Guangdong University of Foreign Studies, Guangzhou Guangdong 510006, China)

机构地区：[1]广东外语外贸大学金融学院,广东广州510006

出　　处：《齐齐哈尔大学学报（哲学社会科学版）》2017年第4期50-53,共4页Journal of Qiqihar University(Philosophy & Social Science Edition)

摘　　要：现存的参考文献都是从伞形信托的高杠杆和子帐户匿名两大特点出发,理论性地阐述其对资本市场带来的影响。本文率先从实证研究的角度出发,选取2013年第1季度到2015年第1季度,伞形信托产品出现在上市公司前10大流通股的股票作为研究样本,运用Fama-Mac Beth的回归方法,检验伞形信托当季度的持股比例是否对下季度的股票流动性、收益性和波动性带来影响。本文的研究结论是:伞形信托当季度的持股比例对下季度股票的流动性和波动性的影响是负向的,对收益性的影响是正向的。The existing literature theoretically explains the impact on the stock market with basically focusing on the two character- istics of high leverage and anonymous sub-accounts. From the perspective of empirical research, this thesis selects the listed company as the research sample from the 1 st quarter of 2013 to the 1 st quarter of 2015 where umbrella trust appeared in the top 10 tradable stock and test the relationship between shareholding proportion of umbrella trust and the volatility, liquidity and profitability of stock by using the method of Fama-MacBeth. The conclusion of this thesis is： the current shareholding proportion has a negative correlation with vola- tility and liquidity of next time, and has a positive correlation with profitability of next time.

关 键 词：伞形信托 持股比例 波动性 流动性 收益性 

分 类 号：D912.29[政治法律—民商法学]