大小非解禁和股价波动关系的实证分析

Empirical Analysis on the Relationship between Small&Large Non-tradable Shares Ban Lifting and the Stock Price Fluctuates

本文基于2007年1月至2011年3月的月度时间序列样本,构建了经典的多元回归模型,对"大小非"解禁与股价走势之间的关系进行了分阶段实证研究。计量结果表明,国内国际经济形势、货币政策以及预期等因素才是影响我国股价走势变化的最主要因素,而"大小非"解禁对股价走势的影响程度则要受到我国股市所处行情阶段的限制。

Based on monthly time series sample from January 2007 to October 2010,this article construct a classical multiple regression model and make a grading empirical study on the relationship between stock price change and Large and Small Non-tradable Shares ban lifting.Measuring results show that domestic and international economic situation,monetary policy and expectation are the most important factors which influence our country＇s stock price change,while the impact level of Large and Small Non-tradable Shares ban lifting on stock price movements will be restricted by China＇s stock market stage.