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股权分置改革是克服我国股票同股不同权的特有现象而进行的一场改革,然而,改革提高市场流动性目标了吗?基于理性预期框架,建立了一个指令驱动系统交易机制下考虑股权分置的信息模型,并通过分析得出基本假设,从理论上论证股权分置改革对流动性产生的影响.然后通过构造差分模型,以沪市607家公司作为样本对理论假设进行实证检验.研究发现:实施股权分置改革公司的流动性会高于没有进行股改的公司,股权分置改革取得了改善流动性的效果.
However, does reform aim to improve market liquidity? Based on the framework of rational expectations, we establish an order-driven system to consider the ownership of shares under the trading mechanism And through the analysis of the basic assumptions, the theoretical proof of the non-tradable shares reform on the impact of liquidity.Then by constructing a differential model, the Shanghai Stock Exchange 607 companies as a sample to test the theoretical assumptions.Studies Found that: the implementation of split share structure reform company will be higher than the liquidity of the company did not carry out share reform, split share structure reform has achieved the effect of improving liquidity.