限售股解禁对股价影响及解禁过程涉及主体博弈分析.docVIP

摘 要 摘  要 2005年股权分置改革以来，我国证券市场的基本格局发生了质的变化。股权 分置改革的意义无可厚非，但是在股改期间留下大量需要解禁的受限股，无论对 于投资者来说，还是对于整个中国经济的发展，都是一个巨大的挑战。研究和解 决限售股带来的影响，既涉及到股东、投资者、监管者的各方利益，又涉及到市 场长期稳定的发展。 近年来国内外有大量文献研究限售股对于证券市场的影响，然而这些研究的 很多都是局限于限售股本身，而对于解禁过程中涉及的各个主体的研究层次也不 深，将两者结合在一起的研究甚少。为此，有必要将限售股与涉及主体结合在一 起研究，分析它们在一定限制条件下，各自的利益均衡。 本文首先对限售股及博弈论相关文献进行了回顾，探讨了现有的观点与理 论；利用对比分析法分析了各行业具备代表性的样本，然后选取了2006-2008年 牛市熊市两个阶段的解禁数据，主要用事件分析法进行实证分析，重点对不同时 期、不同阶段的累计异常收益和平均异常收益进行分析，并用Excel进行显著性 检验，研究限售股相对于市场整体走势的影响，结果显示限售股解禁并没有降低 股票的收益率；接着本文对限售股解禁过程中涉及的三方主体：限售股股东、投 资者、监管者进行博弈分析，建立了完全信息静态博弈模型和不完全信息动态博 弈模型，认为要合理解决限售股问题，应从提高上市公司质量、加强监管、加强 投资者教育及创新限售股管理方式等方面入手，加强各方管理与联系，促进证券 市场的长远发展。 关键字：限售股解禁 实证分析 博弈分析 I Abstract ABSTRACT Since the split share structure reform of 2005, the basic pattern of Chinas securities market had undergone a qualitative change. The significance of the split share structure reform is very prominent, but during this course, lots of non-tradable shares have to be lifted. Both for the investors and the development of the entire Chinese economy is a great challenge. Study and resolve the impact of non-tradable shares, both related to the interests of the shareholders, investors, regulators of all parties and also involves the development of long-term stability to the market. In recent years ，both at home and abroad a large number of studies on the influence of the non-tradable shares， but these studies are mostly confined to the non-tradable shares in itself, the research levels of all involved in the process of the main body are not deep, even if the combination the two sides. To this end, it is necessary to involve the non-tradable shares and main body together to study, analysis the respective balance of interests of their limitation in certain conditions. Firstly, this paper reviewed the literatures of the non-tradable shares and the game theory, discussed the existing ideas and theories; analyzed the representative samples of different industries by means of comparative analysis approach, and then