扩容后新三板市场的流动性风险.docxVIP

扩容后新三板市场的流动性风险田娟娟邢天才［摘要］本文从交易方式和交易规则两个角度分析新三板市场流动性风险成因的特殊性，并通过统计性描述将新三板市场与主板等证券市场的流动性进行比较，在此基础上利用价量结合的计量指 标进行测度，并结合 GARCH 模型对研究样本的流动性变化率序列进行拟合。研究得出，新三板市场流动性远低于国内其他证券市场，流动性风险值的稳定性较差且风险特征明显。这证明现阶段的新三板市场流动性风险较大，流动性明显不足。因此，扩容之后的新三板市场应从调整交易规则、强化做市商制度、规范信息披露和完善转板机制方面进行改革。［关键词］新三板市场；主板市场；流动性风险；市场扩容［文章编号］1009 - 9190（2014）11 - 0022 - 07［JEL 分类号］G11［文献标志码］AThe Liquidity Risks of the New Third Board Market after ExpansionTIAN Juan-juan XING Tian-cai［Abstract］This paper analyzes the special causes about liquidity risks in the new third board market from the perspectives oftrading way and trading rule, and compares the liquidity of the new third board, main board market and other security markets by statistical description. On the basis of the analysis, the paper uses price-amount combined parameters to measure the liquidi－ ty, and uses the GARCH model to fit the series of the liquidity change rate of samples. The conclusions of the paper show that the liquidity of the new third board market is much less than that of other domestic security markets; the stability of liquidity risk value is poor and its risk characteristics are obvious. The above conclusions indicate that currently the new third boardmarket has great risks and its liquidity is obviously insufficient. Therefore, the new third board market after expansion needs to be reformed in the aspects of adjusting trading rules, strengthening market maker system, standardizing information disclosure, improving the mechanism of transferring board, etc.［Key words］new third board market; main board market; liquidity risk; market expansion一、引言中国新三板市场自 2006 年成立以来，为国内众多新兴中小型企业提供了有效的融资平台，挂牌门槛低、成本低、审核效率高等优势是成长型、创新型中小企业选择新三板市场进行股份转让、定向融资的主要原因。根据 全国中小企业股份转让系统的统计数据显示，截至 2014 年 3 月末，在新三板市场挂牌的企业数量为 660 家，涵 盖了高端制造、软件信息、生物制药、新材料、文化传媒等新兴行业，总股本 226 亿股，已挂牌公司累计成交近6 000 笔，成交总金额约 39 亿元。然而，与同期日均成交金额近千亿元的主板市场相比，新三板市场无论从规 模、流动性还是市场资源配置效率上都远远不及。为了促进新三板市场进一步发展，国务院于 2013 年 12 月 14［收稿日期］ 2014 年 9 月 12 日［基金项目］ 国家自然科学基金：上市金融机构系统性风险传导