新三板股票差异化分析与价格有效性研究——兼论中小微企业直接融资政策  

The Analysis of Differentiation of Price Effectiveness on Shares in the New Third Board Market of China

作　　者：侯智杰 蒋宇翔 许恒 覃雁月 Hou Zhijie;Jiang Yuxiang;Xu Heng;Qin Yanyue(Institute of Chinese Finance Studies,Southwestern University of Finance and Economics;Business School,China University of Political Science and Law;College of Environment,Renmin University of China)

机构地区：[1]西南财经大学中国金融研究中心 [2]中国政法大学商学院 [3]中国人民大学环境学院

出　　处：《数量经济技术经济研究》2019年第12期105-122,共18页Journal of Quantitative & Technological Economics

基　　金：西南财经大学中国金融研究中心双一流高水平博士项目;中国政法大学青年教师资助计划(10819125);中国政法大学新兴学科培育与建设计划的资助

摘　　要：研究目标:旨在研究新三板股票交易市场中股票流动性与价格有效性的关联。研究方法:通过构建新三板股票交易市场的低流动性模型,并对新三板市场股票交易数据进行模块化、差异化分析,剖析市场内股票价格有效性的影响因素。研究发现:新三板市场股票流动能够整体提升其价格有效性,创新层股票、及时有效进行信息披露的股票和做市转让制度均对有效定价具有较好的作用,同时,上述特征在民营企业与高新技术类企业都具有更为明显的效果。研究创新:将新三板市场中股票样本按照不同特征、多维度进行模块化、差异化分析,解释低流动性股票市场中影响价格有效性的具体因素。研究价值:提出新三板差异化监管、差异化服务以及与资本市场其他交易场所需有机联动等政策建议,为资本市场,特别是新三板,服务中小微企业直接融资提供金融供给侧结构性改革的参考实现路径。Research Objectives:This paper is to study the relationship between stock liquidity and price effectiveness in the New Third Board Market of China.Research Methods:By constructing a model of low liquidity,modularizing and differentiating the data of the New Third Board market,this paper analyzes the influencing factors of stock price effectiveness in the market.Research Findings:The liquidity of stock in the market can generally improve the price effectiveness in the New Third Board Market.The stocks in the innovation layer,timely and effective information disclosure or by market-making transferred are significantly shown as having effect on pricing effectiveness.Moreover,the effects of above factors work even better in the stocks of private enterprises and high-tech enterprises.Research Innovations:According to the different characteristics and multi-dimension of the stock samples in the New Third Board market,the methodology of modularizing and differentiation analysis is carried out to explain the specific factors,which affect the price effectiveness in the low-liquidity stock market.Research Value:This paper sheds lights on the policy of capital markets in terms of differential supervision,differential services as well as the necessity of integration with other stock exchange markets.In addition,this paper provides a feasible path on the financial supply-side structural reform of the direct financing for the micro,small and medium-sized enterprises in the capital markets,especially the ones in the New Third Board market.

关 键 词：新三板 股票流动性 价格有效性 差异化分析 金融供给侧结构性改革 

分 类 号：F832.5[经济管理—金融学]