限售股解禁的市场波动及影响因素研究——基于A股限售股解禁的事件研究

A Study of the Market Influence and Affected Factors of the Limited-Sale Shares Conversions——An Event Study of the Limited-Sale Shares Conversions in the a Share Market

选取2007～2009年A股市场具有解禁行为的上市公司为样本,采用事件研究法计算出解禁事件发生的窗口期内公司股票的平均累计异常收益率(AAR),并利用单样本T检验研究了限售股解禁对市场产生的影响,发现在股指上升期和下降期具有解禁行为的上市公司的异常收益率表现出不同的变动方向。在此基础上,进一步利用多元回归法寻找限售股解禁公司平均累计异常收益率的影响因素,以期为投资者防范风险、监管者制定政策提供借鉴。

This paper adopts the statistics of the listed companies that are involved in the non-lifting of the ban in the A share market from the year 2007 to the year 2009 and gets the AAR of the company stock during the window period of the ban-lifting incident through Event study.One sample T test is employed to get the changing direction of the AAR in the rising and declining phase.The author then intends to clarify all the factors that influence AAR through multiple regressions.