股权分置改革的计量经济分析

Econometric Analysis of Share Structure Reform

在2005年4月29日以前,仅1/3的上市公司的股份可以流通,其余的2/3主要由国家机构或相关的国有企业所有,禁止公开在市场上流通。中国证监会对倍受关注的股权分置问题提出改革方案,目的是使所有的非流通股都可流通。虽然没有模型发现此政策广泛的系统效应,对面板数据的分析——在计量经济模型中引入政策虚拟变量进行回归,结果认为此政策对股票市场产生二重作用为:一方面是正面的,增加了投资者的信心,成交额放大;另一方面,投资者对股价的对价方案不满,有一部分股票价格下滑。

Prior to April 29 2005, only one third of the shares issued by exchange-listed companies in China are publicly tradable. Focusing upon split share structure, China Securities Regulations Commission issues a reform project which aims to convert all non-tradable shares to be publicly tradable. Although no model finds system-wide effects, the panel data results identify the dual effects on the Stock Market: on the one hand, it enhances the investor’s confidence, the amount increases; on the other hand, it incr...