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限售股解禁的市场反应:机制与特征研究
引用本文:黄建欢,张蓓蓓,尹筑嘉.限售股解禁的市场反应:机制与特征研究[J].财经理论与实践,2010,31(1).
作者姓名:黄建欢  张蓓蓓  尹筑嘉
作者单位:1. 湖南大学,经济与贸易学院,湖南,长沙,410079
2. 招商局集团博士后流动站,深圳,518067
3. 长沙理工大学,经济与管理学院,湖南,长沙,410076
基金项目:教育部人文社会科学研究一般项目(2009年)资助
摘    要:限售股解禁的市场反应机制可概括为累积效应、提前反应和减持效应。实证研究证明了这三种机制的存在,同时还发现:累积效应是中国股市波动的重要原因之一;提前反应和减持效应均存在且显著为负;限售股解禁因素总体上引发了负向的市场反应;限售股解禁的心理冲击影响可能大于实际减持压力。大幅度提升市场投资需求以有效承接股票供给规模的巨量增加,这可能是缓解限售股解禁压力的重要思路。

关 键 词:限售股  解禁  市场反应  累积效应  提前反应  减持效应  

Market Reaction of the Lift of Restricted Shares:Mechanism and Features
HIAMG Jian-huan,ZHANG Bei-bei,YIN Zhu-jia.Market Reaction of the Lift of Restricted Shares:Mechanism and Features[J].The Theory and Practice of Finance and Economics,2010,31(1).
Authors:HIAMG Jian-huan  ZHANG Bei-bei  YIN Zhu-jia
Institution:1.School of Economy and Trade;Hunan University;Changsha 410079;China;2. Post-doctors Center;China Merchants Group;Shenzhen 518067;3. School of Economy and Trade;Changsha University of Science and Technology;Changsha 410076;China
Abstract:Theory analysis finds that market reaction mechanism of the lifting of restricted shares can be decomposed into cumulative effect,early responding effect and reducing effect,those are proved by empirical test. The test also shows:cumulative effect is one of critical factors of market fluctuation; there are significantly early-response and reducing effect,and market reaction is negative overall; and the lift impact on investors' psychology is far greater than that on reduction itself. To enhance the market d...
Keywords:Restricted Shares  Lifting of the Ban  Market Reaction  Cumulative Effect  Early-response  Reducing Effect  
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