股东换购ETF是一种股东减持吗?——基于市场反应的角度  

Is Trading Shares for ETF by Shareholders Another Form of Share Selling?:from the Perspective of Market Reaction

作　　者：陈艳艳[1] Chen Yanyan

机构地区：[1]华南农业大学经济管理学院,广东广州510642

出　　处：《证券市场导报》2020年第5期10-19,共10页Securities Market Herald

基　　金：国家自然科学基金“宏观环境变化、政治关联与现金持有”(71402058);广州市哲学社会科学发展“十三五”规划项目“广州市上市公司员工股权激励的实施效果研究”(2018GZYB44)。

摘　　要：2019年以来,上市公司股东用所持股份换购ETF进入快速发展阶段。股东换购ETF不会直接冲击二级市场供求关系,且国有股东换购ETF被视作推动国企改革的举措。本文研究股东换购ETF比例的影响因素,发现国有企业股东换购ETF比例高于民营企业,2019年的股东换购比例与其他年份无显著差异。进一步,研究股东换购ETF的市场反应及其影响因素,发现市场反应显著为负,产权性质对市场反应不产生影响,2019年的市场反应比其他年份更为负面。研究表明,尽管股东换购ETF存在可取之处,但资本市场将此视作股东减持。2019年11月以来,监管机构开始参照股东减持规定严格监管股东换购ETF,这与本文结论一致。Since 2019,there has been a rapid increase of trading shares for ETF by shareholders.This behavior has no direct attack to the supply-demand relation in the secondary market and,moreover,if conducted by state-owned shareholders,it is considered a measure to promote the reform of state-owned enterprises.By studying the determinants of this trading behavior,it shows that the shareholder of state-owned enterprises traded more shares for ETF than that of private-owned enterprises,but there is no significant difference between 2019 and other years.Finally,the market reaction to trading shares for ETF is significantly negative.The nature of property right has no impact,while the market reaction in 2019 is more negative than that in other years.It indicates that the capital market regards the behavior as share selling of shareholders,although there are some advantages.Since November 2019,regulatory authorities have strictly supervised the behavior in accordance with the provisions on share selling,which is consistent with the conclusion in this study.

关 键 词：股东换购ETF 股东减持 产权性质 市场反应 

分 类 号：F832.5[经济管理—金融学]