中国股市限售股解禁的减持效应研究

Reducing Effect of Restricted Shares in Stock Market of China

限售股解禁及其减持现象将在中国股市长期存在,利用博弈分析和实证研究以深刻认识该现象并阐述其影响机制和影响程度,进而为相关治理途径选择提供依据。通过序贯博弈模型和同时决策的静态博弈模型分析限售股解禁的减持效应,并基于事件研究法进行实证研究。博弈模型推导表明,减持效应可能存在;当已流通股与解禁股的相对规模差异不大时存在减持效应的自稳定机制。实证分析证实了前述推断,并发现减持效应出现自稳定机制时往往伴随着股价的显著下跌;解禁日后存在一段观望期,期间减持效应不显著,但之后出现大规模的减持行为;提前反应明显强于减持效应,限售股解禁的心理冲击影响可能大于实际减持压力。要缓解限售股的解禁和减持压力,关键在于大幅度提升市场对股票的需求,有效承接供给规模的巨量增加,而其重点是提升市场投资需求和持股信心。

The phenomenon of liberalization and reducing of restricted shares has been generated and will be continuously occuring in long term. It is meaningful to do further research on the pressure and mechanism of restricted shares for policy making. Reducing effect of restricted shares is analyzed by using Game Theory Model, and empirically tested with Event Study Method. The model shows that reducing effect might exist, and there is self-steady mechanism of reducing effect when the differences between numbers of tradable shares and restricted shares are not significant. Empirical test proves the inference and finds： self-steady mechanism of reducing effect goes hand in hand with significant price; there is a wait-and-see period after the lift date, in which the reducing effect is not significant, but large scale reduction appears after the period; early reaction is stronger than reducing effect significantly; the reducing impact on investors＇ psychology is far greater than that on reduction itself. Given the holding reduction pressure, to greatly promote the market＇s demand to the stocks is a more urgent and effective measure to bear the enormous increase of the supply effectively. And the key point is to enhance the investing demand and holding confidence of the market.