股权结构对买卖价差的影响研究

The Empirical Research of the Impact of Ownership Structure on Bid-Ask Spread

本文从市场微观结构层面研究了买卖价差和股权结构之间的关系,引入股权激励和B、H股因素,选取2006年至2010年上证180指数成分股作为研究标的。研究表明,公司内部人和机构投资者持股增加了买卖价差,并且机构投资者的影响更大,股权转让会导致买卖价差上升。股权激励在长期中能够降低买卖价差,但是在牛市行情中作用不明显。发行B、H股产生的市场分割和信息非对称会提高A股的买卖价差。

This paper examines the relationship between ownership structure and bid - ask spread from the aspect of Market Micro - structure. Our research attempts to find out how the ownership structure impact bid - ask spread which is not coming to an agreement. To estimate the bid - ask spread, this paper uses a new Bayesian Gibbs estimate method, which is put forward by Hasbrouck, based on daily closing prices. Under the framework of market microstructure theory, our empirical study adopts Shanghai Stock Exchange＇s firm from 2006 to 2010 as a sample and finds that insider holdings, institutional investor holdings and equity transfer may increase bid -ask spread. Furthermore, the impact of institutional investor holdings would be more obvious. In the long term, management incentive can decrease bid - ask spread, but it is not obvious in a bull market. In addition, the firm which has been issued B - share and H - share has a higher bid - ask spread because of market separation and information asymmetry.