流动性视角下新三板改革对价格有效性与低流动性折价的影响研究  

The Impact of National Equities Exchange and Quotations Reform on Price Efficiency and Illiquidity Discount from the Perspective of Liquidity

作　　者：侯智杰 蒋宇翔 杨粲 刘瑞杰 Hou Zhijie;Jiang Yuxiang;Yang Can;Liu Ruijie

机构地区：[1]西南财经大学中国金融研究院,四川成都611130 [2]中央财经大学中国金融发展研究院,北京100033

出　　处：《证券市场导报》2023年第5期68-79,共12页Securities Market Herald

摘　　要：2019年全面深化新三板改革多项改革举措正式发布实施,如何量化改革效果是目前学界和全社会较为关注的重点。本文运用价格有效性模型和低流动性折价模型,对此次深化改革前后新三板市场进行量化研究。实证结果表明,改革后新三板市场整体的价格有效性和流动性得到了切实提升,改革举措有效改善了新三板长期的低流动性状况,市场交易定价效率得到了提高。研究也印证了差异化改革对各层次股票带来了不同的影响,亦为北交所的设立及发展奠定了基础。In 2019,multiple reform measures to comprehensively deepen the reform of the NEEQ(National Equities Exchange and Quotations)were officially released and implemented.How to quantify the reform effects has drawn attention from the academic community and the entire society.This paper uses the price efficiency model and the illiquidity discount model to conduct quantitative research on the NEEQ market before and after this deepening reform.The results show that the overall price efficiency and liquidity of the NEEQ have been effectively improved after the reform.The reform measures have effectively improved the long-term low liquidity situation of the NEEQ,and the pricing efficiency of market transactions has been improved.The research also confirms that differentiated reforms have different impacts on various tiers of stocks,and lays the foundation for the establishment and development of the Beijing Stock Exchange.

关 键 词：新三板 多层次资本市场改革 流动性 价格有效性 低流动性折价 

分 类 号：F832.5[经济管理—金融学]