券商声誉与股票流动性:来自新三板市场的证据

Broker Reputation and Stock Liquidity:Evidence from NEEQ Market

券商声誉对资本市场可以发挥重要作用,已有研究多基于认证效应和信息效应分析券商声誉对公司IPO抑价或IPO后市场表现的影响,鲜有研究分析券商对股票流动性的影响,也缺乏对新三板券商声誉与资本市场相关关系的深入研究。以新三板券商的差异化履职为研究契机,以2015年1月至2017年12月中国新三板市场挂牌企业为样本,检验券商在同一市场履行主办券商或做市商职责时,其声誉对股票流动性的不同影响,并从认证效应和信息效应视角检验券商声誉的影响机制。结合新三板分层政策,进一步分析对于创新层企业和基础层企业,主办券商声誉与做市商声誉对股票流动性的差异化影响。研究结果表明,①在履行主办券商职能时,券商声誉对股票流动性的影响不显著,而在履行做市商职能时,券商声誉对股票流动性产生显著的积极影响;②总体上,主办券商声誉发挥弱认证效应和信息效应,做市商声誉发挥了相对显著的认证效应和信息效应;③结合新三板分层的研究结果表明,主办券商声誉通过持续督导对基础层企业股票流动性产生弱的积极影响,做市商声誉对基础层企业和创新层企业的股票流动性均有显著的积极影响,但对创新层企业的影响更为全面。通过分析券商声誉对股票市场的影响,为发挥新兴资本市场券商声誉机制效应提供了新的经验证据;对认证效应和信息效应的检验,为进一步理解新三板券商声誉的作用机理提供了新的解释;以主办券商与做市商不同业务范围和盈利模式为研究切入点,为理解新三板券商差异化履职产生的一系列市场效应提供了创新型研究视角。从政策意义上看,相关部门应增加券商数量,同时增强对券商的执业质量监管,进一步促进券商队伍建设。

Broker reputation plays an important role in the capital market.Based on the certification effect and information effect,prior researches focused on the impact of the broker reputation on IPO underpricing or the post-IPO performance.Few of them analyzed the impact of brokers on stock liquidity,and there is also a lack of the in-depth study on the relationship between the NEEQ broker reputation and capital market.In NEEQ market,the brokers play differentiated roles as either host brokerage or market maker,and this provides research opportunities for us to solve the problems listed above.In this study,we select the listed companies in the China NEEQ market from January 2015 to December 2017 as samples to test the differential impact of broker reputation on stock liquidity when brokers perform host brokerage or market maker functions in the same market,and examine the influence channels of broker reputation from the perspective of certification effect and information effect.Further,combined with firm stratification policy,we analyze the different impact of host brokerage or market maker reputation on the stock liquidity between the base layer firms and the innovation layer firms.The results show that:①As a host brokerage firm,broker reputation affect stock liquidity of service firms insignificantly,while as a market maker,broker reputation has significant positive impact on the stock liquidity;②In general,the host brokerage reputation exerts a weak certification effect and information effect,while the market maker reputation exerts a significant certification effect and information effect;③The study combined with firm stratification policy proves that,the host brokerage reputation has weak positive effect on the liquidity of base layer firms,while market maker reputation has strong positive effect on the liquidity of base layer firms and innovation layer firms,however,the effect is more comprehensive for innovation layer firms.By analyzing the impact of the broker reputation on the stock market,we add new empirical evidence for broker reputation mechanism in the emerging capital market.The test of the certification effect and the information effect provides new explanation for further understanding on the mechanism of the NEEQ broker reputation;from the perspective of differentiated role of the same broker due to different business scopes and profit models,this study provides an innovative view point for understanding a series of market effects caused by differentiated performance of NEEQ brokers.For the policy implications,regulators should introduce more brokers,strengthen the supervision of brokers’practice quality and further promote the team construction for brokers.