新三板分层制度、风险投资与股票流动性——基于倾向得分匹配双重差分法的经验证据

The NEEQ Tiered System,Venture Capital and Stock Liquidity:Empirical Evidence from PSM-DID Method

新三板分层是一项基础性的特色制度安排,其政策效应尚未得到充分检验。本文以新三板市场匮乏的流动性为切入点,使用"准自然实验"的倾向得分匹配双重差分法研究新三板企业在2016~2020年的层级调整对股票流动性的影响,并且考察风险投资在其中的作用。研究发现:(1)风险投资能发挥筛选、监督和认证等积极效应,从而提高新三板企业入选创新层的概率。(2)新三板企业调入创新层会显著提高股票流动性,而调出创新层会降低股票流动性,但这种影响的作用期限较短,并且有逐年衰弱趋势。(3)分层制度对股票流动性的效应,在无风险投资支持的企业中表现更为显著。(4)最新推出的"精选层"显著地提升股票短期流动性。上述发现对于评价和完善新三板市场制度建设具有积极的启示意义。

The tiered system is a basic and characteristic institutional arrangement of the NEEQ(National Equities Exchange and Quotations)market,and its policy effects have not been fully tested yet.This article takes the lack of liquidity in the NEEQ market as the entry point,and uses the"quasi-natural experiment"propensity score matching double difference method(PSM-DID)for the first time to study the impact of the tier adjustment of NEEQ companies in 2016-2020 on stock liquidity,and examine the role of venture capital in it.The study found that:(1)Venture capital can exert positive effects such as screening,supervision and certification,thereby increasing the probability of NEEQ companies being selected into innovation tier.(2)The transfer of NEEQ companies into the innovation tier will significantly improve their liquidity,while the transfer out of the innovation tier will reduce the liquidity,however,this effect has a short duration and tends to decline year by year.(3)The effect of the tiered system on stock liquidity is more pronounced in companies that are not supported by venture capital.(4)This article further finds that the newly launched"premium tier"has also significantly improved the short-term liquidity of stocks.This article enriches the domestic research on the function of venture capital,fills the academic gap by empirically applying the PSM-DID test on the policy effect of the NEEQ tiered system,and has positive meaning for evaluating and improving the construction of the NEEQ market system.