中国股票市场流通性价值研究--基于非流通股协议转让与限售股转让的证据

The Study on the Marketability Value in China's Stock Market:Evidence from the Non-Tradable Shares Transfer and Restricted Shares Transfer

文章利用股权分置改革前的非流通股协议转让样本与股权分置改革后的限售股票转让样本研究中国股票市场的流通性价值水平。研究结果表明,流通性存在价值,股权分置改革前,股票流通性价值水平均值约为66%,流通股市场的流动性显著影响股票流通性价值,但流通股的流动性与流通股价格波动率对股票流通性价值没有显著影响;股改后的股票流通性价值水平约为56%,流通股的流动性与波动性水平显著影响流通性价值。

This paper discusses the marketability value in China＇s stock market with the sample of non-tradable shares transfer before share structure reform （SSR） and the sample of restricted shares transfer after SSR.The results suggest that the marketability owns its value, and before SSR the marketability value is about 66%. The market liquidity,corporate scale, performance and dividend are the critical factors influencing marketability value,while the liquidity and price volatility of tradable shares have no effects on it. After SSR the marketability is about 56%, and the liquidity and price volatility of tradable shares do affect the marketability value.