上市公司股权分置改革效应的实证研究

Effect of Non-Tradable-Share Reform in Listed Companies: An Empirical Study

股权分置是制约我国股票市场健康发展的重要障碍。2005年4月29日,股权分置改革正式启动。事件研究法和回归统计相结合的分析方法可以进行股权分置改革的市场效应分析。实证结果表明,股权分置改革政策对股票市场产生了显著影响,且为正效应;非流通股股东以对价形式补偿流通股股东利益以换得流通股权,受到流通股中小投资者的欢迎,从而为股改的顺利完成奠定了基础;大多数股改公司累积平均非正常收益率股改后经历了短暂递减后趋于平稳的特征表现,说明股改政策对我国股票市场至少已达到准半强式有效。

Non-tradable-share structure is a big obstacle to stable and sound development of Chinese stock market. April 29th 2005 witnessed the non-tradable-share reform. The market effect of the non-tradable-share reform on Chinese stock market can be investigated with e-vent study and regression analysis. Results show that there exists a positive effect on the stock market. Non-tradable-share owners get the droid of stock circulation in the form of the consideration offering, as is favored by the medium and small investors and tradable-share owners as well. Consequently, this practice prepares for a successful reform of non-tradable shares. Along with the completion of the non-tradable-share reform, cumulative average abnormal returns of most of companies turn to be stable after a temporary downward trend. This proves that Chinese stock market has already realized quasi-strong efficiency.