【作者】 陈浩；

【导师】 王义中；

【作者基本信息】 浙江大学 ， 金融学， 2023， 硕士

【摘要】 近年来,我国A股大宗交易市场发展迅速,逐渐成为我国资本市场不可忽视的组成部分。关于大宗交易机制及其市场定价规律的研究,对完善我国资本市场制度,提高金融服务实体经济的效率具有重要理论价值和实践意义。我国A股大宗交易市场存在显著的折价现象,特别是在2017年5月26日,证监会发布《上市公司股东、董监高减持股份的若干规定》(简称减持新规)后,折价率进一步上升。本文在梳理已有研究的基础上,首先定性分析了我国大宗交易的发展历史和现状,发现大宗交易的发展与监管政策密切相关。然后,本文从理论上提出了解释我国A股大宗交易折价现象的六大假说,在实证上选取2013年1月1日至2021年6月30日大宗交易数据进行多元回归分析,研究发现:中国股票市场大宗交易折价现象受到股票或市场的流动性、所交易股份的控制权价值、股票的风险、股票或市场的近期累计涨跌幅、股票市值、机构投资者交易行为和上市公司股权性质等因素的显著影响,支持了本文提出的解释大宗交易折价现象的一系列假说:流动性折价假说、控制权溢价假说、风险溢价假说、市场择机假说、套现动机假说、制度性假说。具体而言:(1)个股非流动性和市场非流动性越大,大宗交易的折价程度越高;股票的总体波动率或特质波动率越高,风险越大,大宗交易的折价程度也越高;(2)在股票或市场的近期累计收益率较高时,大宗交易的折价程度越高;市值越小的公司、非国有控股的公司、机构投资者买入非机构卖出的大宗交易的折价幅度越大;(3)减持新规对大宗交易折价有显著影响,在2017减持新规之后,中国股票市场大宗交易折价程度显著上升,减持新规加强了流动性折价、控制权溢价、风险溢价、市场择机、套现动机与大宗交易折价的作用关系。本研究结论具有以下启示作用:在政策上,监管层应积极改革现有大宗交易制度,结合中国市场实际情况,引进国际上成熟先进的大宗交易机制,同时完善相关交易信息披露制度,促进大宗交易定价效率的提高。在实践上,投资者应充分考虑流动性、控制权价值、风险等因素对大宗交易价格的影响。本文提出了风险溢价假说、市场择机假说等新的大宗交易折价理论,补充和丰富了中国股票市场大宗交易方面的学术研究,具有一定的创新意义和学术价值。更多还原

【Abstract】 In recent years,my country’s A-share block trading market has developed rapidly and has gradually become an integral part of my country’s capital market.The research on the block trading mechanism and its market pricing law has important theoretical value and practical significance for improving my country’s capital market system and improving the efficiency of financial services to the real economy.Through the block trading market data,it is found that there is a significant discount phenomenon in my country’s A-share block trading market.According to wind financial information statistics,as of December 2021,nearly 80% of large transactions are discounted transactions.Especially on May 27,2017,after the China Securities Regulatory Commission issued the "Several Regulations on Share Reduction by Shareholders,Directors,Supervisors and Senior Management of Listed Companies"(referred to as the New Regulations for Reduction of Shareholdings),the discount rate further increased,and the average discount rate in 2019 reached 8.25 %.On the basis of sorting out the existing research,this paper first qualitatively analyzes the development history and current situation of block transactions in my country,and finds that the development of block transactions is closely related to regulatory policies.Then,this paper proposes six hypotheses to explain the discount phenomenon of my country’s A-share block trades in theory,and empirically selects block trade data from January 1,2013 to June 30,2021 to conduct multiple regression analysis to test my country’s large block trades.The influencing factors of the transaction discount rate,and finally the conclusions and policy recommendations of this paper are obtained.The empirical research of this paper finds that the discount phenomenon of block trading in China’s stock market is affected by the liquidity of the stock or the market,the value of the control rights of the traded shares,the risk of the stock,the recent cumulative rise and fall of the stock or the market,the market value of the stock,and the trading of institutional investors.The significant influence of factors such as behavior and the nature of equity of listed companies supports a series of hypotheses proposed in this paper to explain the discount phenomenon of block transactions: the hypothesis of liquidity discount,the hypothesis of control premium,the hypothesis of risk premium,the hypothesis of market selection,and the hypothesis of cash motive.Specifically,the greater the illiquidity of individual stocks and the illiquidity of the market,the higher the discount degree of block trades;the higher the overall volatility or idiosyncratic volatility of stocks,the greater the risk,and the higher the discount degree of block trades;When the recent cumulative rate of return of the stock or market is high,the discount degree of block trades is higher;the larger the discount rate is for companies with smaller market capitalization,non-state-controlled companies,and block trades bought by institutional investors and not sold by institutions.At the same time,the new regulations on reduction of holdings have a significant impact on the discount of bulk transactions.After the new regulations on reducing holdings in 2017,the discount degree of block trades in China’s stock market has increased significantly.Further research finds that the new regulations for reduction of holdings have a significant impact on the relationship between liquidity discount,control premium,risk premium,market opportunity,cash-out motivation and block transaction discount.The impact of the new regulations on reduction of holdings has strengthened the role of these theoretical mechanisms.Based on the perspective and empirical analysis of the new regulations for shareholding reduction,this paper proposes new block trade discount theories such as the risk premium hypothesis and the market opportunity hypothesis,which supplement and enrich the academic research on block trades in China’s stock market,and have certain innovative significance and policy implications.更多还原