限售股解禁的市场反应:机制与特征研究

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。

Market Reaction of the Lift of Restricted Shares:Mechanism and Features

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...