股东增持与减持对股价的差异性效应研究

Different Effects of Shareholders' Increasing and Reducing Shares on Stock Prices

选取2016年7月至11月相关股票样本,运用事件研究法、多元回归法研究上市公司股东增持与减持对股价的差异性效应。实证研究发现,股东增持与减持之前,股票走势均强于市场平均水平;股东增持之后,股价先强后弱,在短期内存在正的累积超额收益率,股东减持之后,股价则持续疲弱;股东增减持股数占流通股比例与股票的超额收益率显著正相关,中小板与创业板样本的超额收益率更低。证券监管机构应当要求上市公司及时公布股东增减持信息,加强市值管理,我国需要大力发展机构投资者并优化其结构。

Using the event study method and multiple regression method,this article selects the related stocks？ samples from July to December in 2016 to research the different effects of shareholders’ increasing and reducing shares on stock prices. Empirical studies find that stock movements are stronger than the market average before shareholders’ increasing and reducing shares while after shareholders’ increasing shares,share price is strong at first and becomes weak later and there exist the positive accumulative excess stock returns in the short period. After shareholders’ reducing shares,share price becomes continuously weak. The proportion of shareholders’ increasing and reducing shares in tradable shares is significantly positively correlated with excess stock returns, and the excess returns of the samples on SME board and GEM board are much lower. Securities regulators require that the listed companies should timely release the information of shareholders’ increasing and reducing shares and strengthen the management of market capitalization. China needs to vigorously develop institutional investors and optimize the structure.