流动性对股票交易价格影响的实证研究

为提高上市公司制定财务政策和投资者投资决策的科学性,以换手率作为流动性的度量标准,对我国股权分置改革前两批试点中45家上市公司流通股的交易价格、流通市值及股票流动性在股改前后的变化进行对比,分析上述因素股权分置改革前后的变化趋势和相互关系,进一步分析流动性的影响因素.结果表明:股权分置改革后的一段时期,股票价格有所下降;流通市值没有显著变化;股票流动性大幅提高;换手率与交易价格负相关;与流通股数量显著正相关.说明股权分置改革的一段时间内,社会各方利益基本保持稳定,流动性增强的重要原因是流通股数量的增加,流动性的增强反过来制约股票价格的偏离,影响股票价格.

An empirical study on the influence of liquidity on the exchanging price Of public shares

In order to improve the scientificity of decision-making for listed companies and investors,taking turnover rate as the measurement criterion of liquidity,45 listed companies involved in the previous two teams of experimental reform of dual-class equity structure were compared in aspects of the exchanging price,the total market value and the liquidity of companies’ public trading stocks before and after the reform.The factors influencing the liquidity in the special situation of dual-class equity structure were analyzed.The result shows that,after the reform of dual-class equity structure,the exchanging price falls,and the total market value does not change obviously,then the liquidity is improved;the turnover rate is in negative correlation with the exchanging price,and in positive correlation with the number of public shares.After the share reform,the social interests of different parters maintain the basic stability,and the main reason for liquidity enhancement is the increase in the number of shares;enhancing the liquidity of restricted stock will impact the stock price.