股票转让方式与极端收益风险——兼论新三板市场引入做市转让制度的经济后果

在极端收益风险形成机理的现有研究中,交易环节是其逻辑链条中缺失的一环;对于做市转让制度的实施效果,现有实证研究也普遍忽视了其对极端收益风险的影响.文章从交易环节入手,提出了一个解释极端收益风险形成机理的新假说,并以新三板市场引入做市转让制度为契机,实证考察了股票转让方式和极端收益风险之间的关系.研究发现:(1)与实施协议转让的股票相比,实施做市转让的股票极端收益风险显著较低,但更多的做市商并未带来显著更低的极端收益风险;(2)做市转让方式对股价暴涨风险的抑制作用在熊市中较强,对股价暴跌风险的抑制作用则在牛市中较强;(3)股票转让方式对极端收益风险的影响主要通过股票流动性路径起作用,而信息有效性路径会起作用主要是因为信息有效性和股票流动性之间的高相关性.使用处理效应模型来控制自选择偏差的影响,使用不同的极端收益风险度量指标,延长极端收益风险的计算窗口,均不改变上述实证结果.这表明,交易环节是影响极端收益风险的重要因素,做市转让方式的引入有助于降低新三板挂牌公司的极端收益风险.文章对于深入理解极端收益风险形成机理、改善新三板市场交易机制具有重要的意义.

Stock Transfer Modes and Extreme Return Risks:Economic Consequences of the Introduction ofMarket Making Mechanism into the New Third Board

The transaction link is paid little attention to in the studies of the generation mechanism of extreme return risks, and the effects of market making transfer system on extreme return risks are usually neglected in existing empirical studies of the implementation effect of market making transfer system.Based on transaction link, this paper proposes a new hypothesis to explain the generation mechanism of extreme return risks, and introduces market making mechanism into the New Third Board to empirically explore the relationship between stock transfer modes and extreme return risks.It comes to the following conclusions: firstly, compared with stocks transferred by agreement, extreme return risks of stocks transferred by market making are significantly low, but more market makers do not bring significantly lower extreme return risks;secondly, the inhibitory role of stock transfer modes in price jump risk is stronger in the bear market, and the inhibitory role of stock transfer modes in price crash risk is stronger in the bull market;thirdly, the effect of stock transfer modes on extreme return risks exert mainly through stock liquidity path, and information effectiveness path plays a role mainly owing to high correlation between information effectiveness and stock liquidity.These empirical results above are still robust after using treatment effect model to control the effect of self-selection bias, using different indexes of extreme return risks, extending calculation window of extreme return risks and so on.It shows that transaction link is an important factor affecting extreme return risks, and the introduction of market making transfer system is beneficial to the reduction in extreme return risks of companies listed on the New Third Board.It is of great significance to deep understanding of the generation mechanism of extreme return risks and the improvement of transaction mechanism on the New Third Board.