出售还是质押——基于新三板股票转让方式变更的准自然实验  

Sale or Pledge?A Quasi-Natural Experiment Based on Changes to the Stock Transfer Method on the New Third Board Market

作　　者：吴梦菲 徐斯旸 陈辉 Wu Mengfei;Xu Siyang;Chen Hui(School of Finance&Investment,Guangdong University of Finance,Guangzhou 510521,Guangdong,China;School of Insurance,Guangdong University of Finance,Guangzhou 510521,Guangdong,China)

机构地区：[1]广东金融学院金融与投资学院,广东广州510521 [2]广东金融学院保险学院,广东广州510521

出　　处：《金融经济学研究》2022年第4期112-128,共17页Financial Economics Research

基　　金：教育部人文社会科学研究青年基金项目(18YJC790182);国家自然科学基金项目(71772185)。

摘　　要：以供求理论为基础推演新三板市场股票流动性正向影响股权质押水平的理论假说,并进行相应的实证检验,研究表明,新三板挂牌公司的股票流动性越高,股权质押水平越高,这可能是由于股票流动性便于质押的效应支配了便于出售的效应所致。以新三板挂牌公司股票转让方式由协议转让变更为做市转让为准自然实验的实证检验不改变研究结论。股票流动性可能也会通过信息有效性路径影响股权质押水平;股票转让方式变更对股权质押水平的正向影响在非国有企业、大规模公司和股东人数较多的样本组中更加显著。基于此,建议决策层在建设股权质押市场时区分质物的价值是否会受到出质人行为的影响;质权人在评估不同的新三板出质人时为流动性提供机制设定差异化决策权重;挂牌公司在做出影响股票流动性的决策时考虑股票流动性对股权质押水平的影响。Based on the theory of demand and supply,this study developed the theoretical hypothesis that stock liquidity on the New Third Board Market positively affected the level of equity pledge and subsequently conducted empirical tests to support this hypothesis.The findings revealed that the higher the level of stock liquidity among firms listed on the New Third Board Market,the higher the level of equity pledge,which was explained by the fact that the effect of stock pledging dominated the effect of stock sale.The empirical test conducted in the quasi-natural experiment involving the change in stock transfer method from agreement-based transfer to market-making transfer on the New Third Board Market did not alter the conclusions of this study.Stock liquidity may also affect the level of equity pledge via the information validity path.The positive effect of change in stock transfer method on the level of equity pledge is more significant in the sample groups of non-state-owned enterprises,large-scale firms,and firms with many shareholders.Hence,this study recommends that decision-makers should distinguish whether the value of a pledge is affected by the pledgor’s behavior when building the equity pledge market,while pledgees should set differential decision weights for the liquidity provision mechanism when evaluating different pledgors on the New Third Board Market.In addition,listed firms should take into consideration the effect of stock liquidity on the level of equity pledge when making decisions that affect stock liquidity.

关 键 词：新三板 股票流动性 股权质押 股票转让方式 准自然实验 

分 类 号：F832.5[经济管理—金融学]