中国股票市场流动性折价研究——来自新三板市场的证据

Analysis on the Discount for Low Liquidity in China’s Stock Market:Evidence from the New Third Board

股票交易市场中各层次市场内的股票具有差异化的流动性结构,本文以我国具有显著低流动性特点的新三板股票市场为例,构建低流动性股票折价理论研究框架,并对流动性折价进行实证分析。研究指出,相较于A股市场,新三板市场股票流动性折价在股票市场的波动阶段、股权结构、行业特征等维度上存在明显差异。此外,公司在新三板股票摘牌时的流动性折价与IPO前五个交易日累计收益呈正向相关。本文研究为我国上市公司股票在具有不同流动性的市场间转板时提供理论支撑,并为新三板改革提供重要的政策依据。

The stocks at all levels of the stock market have different liquidity structures.Taking the new third board stock market in China which comes with low liquidity as an example,this paper constructs a theoretical framework of low liquidity stock discount and empirically analyses such liquidity discount.The results reveal that compared with the A-share market,the liquidity discount in the new third board market has significant differences in different fluctuation stages,ownership structures as well as industrial characteristics of the stock market.In addition,when the new third board stock is delisted,the liquidity discount of the company is positively correlated with the cumulative income of the five trading days before IPO.This paper provides theoretical support for the stock transfer of listed companies in China between markets with different liquidity,and provides an important policy basis for the reform of the new third board.