股东大宗增减持不对称价格影响实证研究

The Empirical Study of Price Impact Asymmetry Effect of Block Transfers

通过对中国沪、深股市2006-2008年175家上市公司股东大宗增减持公告信息进行研究发现:减持样本在公告前,增持样本在公告后有显著的正累计异常收益,投资者在大宗增持公告后买入是一种较好的投资策略;公告后的信号效应对市场的影响大于公告前转让行为,对于上市公司股东大宗股权转让的信息披露监管比交易行为监管更为重要;公告前数据显示存在牛熊市不对称价格影响,熊市减持样本有公告前股东操纵股价迹象。本研究对全流通下市场监管和投资者策略选择具有一定意义。

This paper examines the price impact asymmetry effect of block transfers,using equity transfers information disclosed by 175 firms listed in China＇s Shanghai and Shenzhen stock markets from October 2006 to October 2008.We find that Cumulative Abnormal Returns（CAR） positively correlate with purchases percentage,but negatively correlate with sells percentage.Market reaction to information announced on block transfers is more pronounced to transfer behaviors.Data prior to announcement suggests that price impact asymmetry exists between bullish and bearish market.There is a indication that when market is bearish,block sellers manipulate shares price in order to maximize pre-announcement returns.This article is especially valuable for supervising China stock market and designing trading strategies after equity splitting reform.