分层制度提升新三板流动性了吗?——来自多维断点回归的经验证据

Has the Tiered System Enhanced the Liquidity of the NEEQ? Empirical Evidence from the Multivariate Regression Discontinuity Design

本文通过多维断点回归设计,研究了在分层制度的三套不同标准下,新三板挂牌企业由基础层进入创新层对股票流动性的影响。经过一系列稳健性检验后发现:(1)通过盈利标准进入创新层的股票,Amihud价格冲击指标和换手率分别提升了74. 1%和45. 1%,成长标准存在操纵报表进入创新层的情形,通过做市标准进入创新层的股票流动性未能得到显著提升。(2)做市商制度对分层制度的流动性提升效应不明显;相比于协议转让,做市转让的股票流动性更低,对于做市转让的股票,其流动性与做市商数量正相关。本文对新三板分层标准的逐步调整和做市商制度与分层制度的协调配合具有积极的借鉴意义。

The National Equities Exchange and Quotations, which has held for more than 10 thousand innovative and developing companies, now gains its' indispensable position in the multilevel capital market in China since it was extended to a nationally OTC stock market in 2013. The newly built stock market, however, suffers from severe inadequacy of liquidity. To manage the heterogeneous companies efficiently and promote the liquidity condition of the NEEQ, the supervisor has designed a tiered system to divide the listed companies into different levels. The companies of the NEEQ are allocated into the basic tier and innovative tier according to criteria of profit, growth and market making. Any company who is qualified in the minimum requirements of one of the three criteria can choose to enter the innovative tier, otherwise it will remain in the basic tier. Whether the special trial of the microstructure of the NEEQ has addressed the dilemma of the liquidity remains to be evaluated. This paper tries to assess the policy effects of the tiered system on the liquidity of the NEEQ by multivariate regression discontinuity designs. The specific financial indexes of each criteria can be regarded as three discontinuity points in the multivariate space. We identify the treatment effects of the three criteria by exploiting three different sharp RDD, respectively. The data of the listed companies in 2014 and 2015, according to which the trier system is operated for the first time, is used to select the experiment groups and control groups of each RDD. To guarantee that the companies can't manipulate their financial outcomes to reach the requirements of the innovative tier, we firstly examine the discontinuity of the assignment variables. We find that the assignment variables of the growth criterion are discontinuous around the critical point, indicating that the existence of the self-selection may lead the subsequent RDD invalid. Therefore, we can only identify the treatment effects of the profit and market making criteria. Our results are twofold. Firstly, the profit criterion, which emphasizes on the profitability of the companies, has improved about 74.1% of the Amihud index and 45.1% of the turnover of the companies who entered the innovative tier through this criterion. Secondly, the market making criterion, which emphasize on the market making scale of the companies, however, hasn't boost the liquidity of the companies on the innovative tier significantly. Our results remain robust after conducting the following robust checks (1) we change the window width of the assignment variables,(2) we run the polynomial regressions to avoid that we identify the nonlinear curve as a “jump”,(3) we run the nonparametric regressions to avoid that we set the parameters erroneously, and (4) we conduct a placebo test which is distinguished from the traditional univariate RDD in that our critical point is located in a space. We randomly extract 10000 points as the virtual critical points to repeat the RDD for 10000 times. The results are quite robust as the policy effects on most of the chosen points are insignificant, while significant around the true critical point. Why companies listed on the innovative tier through different criteria lead to a bifurcation in the liquidity prompting effect? We suppose that the innovative tier enhances the requirements of the listed companies without releasing corresponding bonus, then failed to guide the expectation of the tiered system. Thus the liquidity prompting effect of companies on the innovative tier depends on the investor recognition. Compared to the profit criterion who selects the profitable companies, the market making criterion is more accessible, resuting in a low investor recognition. Moreover, as the tiered system and the market making system are two fundamental systems of the NEEQ, we further investigate the interaction effect of them. Specifically, the tiered system claims that any company who applies to list on the innovative tier since its' initial public offerings has to adopt market making transfer. We evaluate the moderating effect of the market making system on the tiered system by comparing the liquidity promoting effect of the negotiating-transferred companies and the market making ones. The empirical evidence indicates that the market making companies perform worse in liquidity than the negotiating ones. But within the market making companies, the number of the market makers is benefit for the liquidity. These findings shade new lights on the tiered system and the moderating mechanism among institutes of the NEEQ. Firstly, enhancing the liquidity of the NEEQ leads a fundamental and pilot role of other institution innovations, however, equipped mechanisms are needed to strengthen the efficiency of the tiered system. Secondly, the supervisor should enhance the credibility of the reports of the companies of the tiered system such that the resources of the innovative tier are allocated competitively. Thirdly, the market making criterion is invalid regarding the liquidity of the companies, therefore, it has to be rectified in the next adjustment of the tier system of the NEEQ. Also, the requirements that companies must adopt market making transfer when entering the innovative tier should be abolished since the transaction methods are selected by the companies rationally. Finally, as for the marginal contribution to the identification method of our paper, some tentative techniques exploited by us may be heuristic for some regression discontinuity design based literature.