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股权分置已成为影响我国资本市场持续发展的一个重要因素。目前,我国的股权分置改革正全面铺开,以期实现资本市场的全流通。本文首先建立了考虑全流通预期的我国证券市场交易者策略模型,通过对波动性因素的分析得出了若干假设,从理论上推导出全流通对市场质量所可能产生的影响。然后以目前股权分置改革期中已完成股权分置改革的435家公司为样本对理论假设进行实证分析,发现全流通对市场波动性产生了一些影响。
Split share structure has become an important factor affecting the sustainable development of China’s capital market. At present, the non-tradable share reform in China is being rolled out in an all-round way with a view to achieving full circulation of the capital market. Firstly, this paper establishes the strategy model of China’s securities market considering the all-round liquidity forecast. Through the analysis of the volatility factors, it draws several hypotheses and deduces the possible impact of the whole circulation on the market quality. Then, based on the sample of 435 companies that have completed the reform of non-tradable share structure in the current share-trading reform period, this paper empirically analyzes the theoretical assumptions and finds that full circulation has some impact on the market volatility.