筹资额、解禁量、减持量和货币供应量对我国股价影响的实证分析

Empirical Analysis of Impact of Amount of Capital Raised, Ban-lifting, Reduction and Money Supply upon China's Stock Market

中文关键词:  筹资额  解禁量  减持量  货币供应量  VAR模型

英文关键词:amount of capital raised  amount of ban-lifting  amount of reduction  amount of money supply  VAR model

中文摘要:

      从股票市场的微观层面入手,研究了股权分置改革后筹资额、大小非解禁和减持量以及货币供应量对股价的影响。研究结果表明,股票收益率同时受到筹资额、大小非解禁和减持量、货币供应量的影响,但主要影响因素是大非的减持量和货币供应量,并且它们对收益率的影响均为正向影响。同时,以上因素对股票收益率都会造成不同程度的冲击。短期内,除大非解禁量和小非减持量造成的冲击趋于收敛外,其他因素冲击较大,并且没有收敛的趋势。

英文摘要:

      From the microscopic aspect of stock market, this paper studies the impact of the amount of capital raised, the amount of lifting the ban and reduction in non-tradable shares, and the money supply upon stock prices after the split-share reform. The empirical analysis indicates that the stock yield is simultaneously influenced by capital raised, the amount of lifting the ban and reduction in non-tradable shares, and the money supply, but mainly influenced by the reduction in “big” non-tradable shares accounting for over 5% and the money supply, with both their impacts positively correlated with the yield rate. Meanwhile, these factors can impact the stock returns in different sizes. In addition to the ban-lifting “big” and “small” non-tradable shares and reduction the impact of which ultimately tend to converge around, other factors impact relatively large, and there is no trend of convergence. 