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规范大股东减持能有效抑制股价波动吗?——基于《减持新规》[9号文]的自然实验 被引量:18

Can Regulating the Reduction of Major Shareholders Effectively Restrain the Volatility of Stock Prices?
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摘要 定量评估大股东减持新规政策对股价波动性的抑制作用,对于发挥减持新规引导大股东和高管规范减持,促进资本市场健康发展有重要的现实意义。本文针对2017年5月26日最新的减持政策,采用固定效应模型及PSM方法,实证检验2017年1月1日~2017年11月30日期间减持新规对所有A股以及沪、深两市价格波动性的影响。实证结果表明:(1)以沪深两市所有A股作为研究对象,减持新规出台对A股股价整体波动性有显著增强作用。(2)使用PSM方法对沪深两市企业匹配,发现不同市场结果存在差异:在沪市减持新规的实施对股价波动性有显著的正向推动作用;在深市减持新规的实施对股价波动性有显著的抑制作用。(3)盈利能力越强、换手率以及流通市值越低的企业其股价波动性越低,即发展越稳健的企业的股价也会越平稳。上述结论在分别改变事件时间点和时间窗口时间或者替换控制变量取值后依然成立。 Quantitatively assessing the inhibitory effect of the shareholder's new shareholding policy on stock price volatility has important practical significance in exerting new regulations to guide major shareholders and executives to reduce their holdings and promote the healthy development of the capital market. This paper focuses on the latest reduction policy of May 26, 2017, using the fixed effect model and PSM method, empirically testing the new rules for all A shares Shanghai and Shenzhen from January 1, 2017 to November 30, 2017. The empirical results show that:(1) Taking all the A-shares as the research object, the reduction of the new regulations will significantly enhance the overall volatility of the A-share stock price.(2) Using the PSM method to match the enterprises in the Shanghai and Shenzhen stock markets, the paper found that there are differences of the results in different markets: the implementation of the new regulations in the Shanghai stock market has a significant positive effect on the stock price volatility;in the Shenzhen market, implementation has a significant inhibitory effect on stock price volatility.(3) The stronger of profitability, the lower of turnover rate, market capitalization and stock price volatility, the more stable the firm's stock price will be. The above conclusions are still established after changing the event time point and time window respectively or replacing the control variable values.
出处 《证券市场导报》 CSSCI 北大核心 2019年第3期13-23,共11页 Securities Market Herald
基金 中南财经政法大学研究生创新课题项目"多元化战略变革是促进还是抑制了企业绩效"(编号:201710511)
关键词 减持新规 股价波动 PSM 大股东减持 reduction of new rules stock price volatility PSM reduction of major shareholders
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