新三板做市商制度、股票流动性与证券价值  

The Mechanism of Market Making in the New Third Board,Stock Liquidity,and Securities Values

作　　者：陈辉[1] 顾乃康[2] 

机构地区：[1]广东金融学院金融系,广东广州510521 [2]中山大学管理学院,广东广州510275

出　　处：《金融研究》2017年第4期176-190,共15页Journal of Financial Research

基　　金：国家社会科学基金青年项目(16CJY072)的资助

摘　　要：本文研究了新三板挂牌公司的股票转让方式由协议转让变更为做市转让对股票流动性和证券价值的影响。研究发现,一是与对照组公司的均值比较和基于倍差法模型的回归结果表明,实施了做市转让方式的处理组公司的股票流动性更高;二是处理组公司在事件日前后存在显著为正的平均累积异常收益,而这一现象在对照组公司中不存在;三是交易机制变更的个股的累积异常收益率与股票流动性变化正相关,控制样本选择偏差后的结论基本不变;四是交易机制变更的个股的股票流动性变化与做市商数量正相关,控制样本选择偏差后的结论基本不变。研究结果表明,做市商制度对股票流动性和证券价值有正面影响,我们不能因新三板市场整体换手率的波动而否定做市商制度的作用。This paper analyzes the influence of the companies＇ trading mechanism in the new third board transferring from negotiating transfer to market making transfer on stock liquidity and securities values. ＇l＇h~~ results show that, compared with the matched group, the stock liquidity of the treatment group that has changed their trading mechanism is higher; there is a positive average cumulative abnormal return around the event day in the treatment group, but this phenomenon does not exist in the matched group; the relationship between cumulative abnormal return and the change of stock liquidity is positive, and this result does not change after controlling the sample - selection bias ; the relationship between the change of stock liquidity and the number of market makers is positive, and this result does not＇ change after controlling the sample - selection bias. These results mean that, there are positive effects of market making on stock liquidity and firm value, and we can＇ 1 deny these effects when we observe the variation of the total turnover of the new third board. The paper also gives some policy suggestions for the new third board.

关 键 词：新三板 做市转让 协议转让 做市商 股票流动性 证券价值 

分 类 号：F832.51[经济管理—金融学]