[1]吴梦菲a,蔡贵鸣b,陈 辉b,等.资本市场分层与股权质押——来自新三板分层的经验证据[J].金融教育研究,2023,(01):38-52.
　WU Mengfeia,CAI Guimingb,CHEN Huib,et al.The Tiering of Capital Market and Share Pledges——Empirical Evidence from the Tiering of NEEQ Market[J].,2023,(01):38-52.
点击复制

资本市场分层与股权质押——来自新三板分层的经验证据()
分享到：

《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2023年01期
页码:
38-52
栏目:
出版日期:
2023-01-25

文章信息/Info

Title:
The Tiering of Capital Market and Share Pledges——Empirical Evidence from the Tiering of NEEQ Market
文章编号:
2095-0098(2023)01-0038-15
作者:
吴梦菲a;  蔡贵鸣b;  陈 辉b; c
(广东金融学院 a.金融与投资学院; b.广东特色金融建设协同创新发展中心; c.保险学院,广东 广州 510521)
Author(s):
WU Mengfeia;  CAI Guimingb;  CHEN Huib; c
(a.School of Finance and Investment; b.Guangdong Collaborative Innovation Research Center for the Construction of Distinctive Finance; c.School of Insurance,Guangdong University of Finance,Guangzhou,Guangdong 510521,China)
关键词:
新三板;  股权质押;  分层;  多层次资本市场;  资源配置
Keywords:
NEEQ;  Share pledges;  Tiered;  Multi-tiered capital market;  Capital allocation
分类号:
F832.5
文献标志码:
A
摘要:
以新三板分层制度的推出为准自然实验,采用PSM-DID的回归分析方法,实证检验了资本市场分层对股权质押水平的影响。研究发现,新三板分层制度推出后,进入创新层的公司的股权质押水平得到了显著提升,但这一效应仅在以标准1或标准2进入创新层的样本组中显著,且股票流动性的提升是新三板分层制度影响股权质押水平的可能渠道。稳健性检验结果表明,股票转让方式并非新三板分层制度推出效果的替代性解释,且多维断点回归与安慰剂检验结果均不改变研究结论。
Abstract:
Taking the introduction of tiered system in the NEEQ market as a quasi-natural experiment,the paper explores the effect of the tiering of capital market on share pledges using the PSM-DID regression method.It is found that after the introduction of the New Third Board stratification system,the equity pledge level of companies entering the innovation layer has been significantly improved,but this effect was only significant for the sample group that entered the innovation tier with criteria 1 or 2,and the improvement of stock liquidity is the possible channel through which the New Third Board stratification system affects the level of equity pledge.The results of the robust tests show that the stock transfer method is not an alternative explanation for the effect of the New Third Board stratification system; the results of multidimensional breakpoint regression and placebo test did not change the conclusion of the study.

参考文献/References:

[1]陈辉,吴梦菲.新三板资本市场质量评估与改革政策研究[J].金融监管研究,2020(2):67-84.
[2]鄢伟波,王小华,温军.分层制度提升新三板流动性了吗?——来自多维断点回归的经验证据[J].金融研究,2019(5):170-189.
[3]李金甜,李甜甜,孙诗璐.新三板分层政策与股票流动性的影响研究——基于不同交易方式和分层标准的讨论[J].国际商务(对外经济贸易大学学报),2019(4):114-128.
[4]赵崇博,刘冲,邹腾辉.分层制度改革对新三板股票流动性的影响渠道分析[J].中国经济问题,2020(3):59-72.
[5]吴梦菲,陈辉,顾乃康.股权质押研究:框架、经验、共识与展望[J].金融教育研究,2021(1):31-40.
[6]高苗苗.新三板与市场分层制度[J].中国金融,2016(23):25-26.
[7]洪方韡,蒋岳祥.新三板分层制度、风险投资与股票流动性——基于倾向得分匹配双重差分法的经验证据[J].浙江社会科学,2020(12):16-28.
[8]谢雪燕,朱晓阳,王连峰,等.新三板分层制度对创新层企业影响的实证研究[J].中央财经大学学报,2019(3):35-50.
[9]潘洪波,汪涛,周颖.新三板分层制度、市场环境与盈余管理[J].中南大学学报(社会科学版),2020(5):119-132.
[10]徐凯.资本市场分层的理论逻辑与效应检验:基于中国新三板市场的分析[J].金融经济学研究,2018(2):84-94.
[11]Parlatore C..Collateralizing liquidity[J].Journal of Financial Economics,2019(2):299-322.
[12]谭燕,吴静.股权质押具有治理效用吗?[J].会计研究,2013(2):45-53.
[13]黄志忠,韩湘云.大股东股权质押、资金侵占与盈余管理[J].当代会计评论,2014(2):19-34.
[14]李旎,郑国坚.市值管理动机下的控股股东股权质押融资与利益侵占[J].会计研究,2015(5):42-49.
[15]吴静.控股股东股权质押等于“掏空”吗?——基于中国上市公司股权质押公告的实证分析[J].经济论坛,2016(8):65-70.
[16]徐寿福,贺学会,陈晶萍.股权质押与大股东双重择时动机[J].财经研究,2016(6):74-86.
[17]吴梦菲,陈辉,顾乃康.股票流动性对股权质押的影响研究——理论解释与经验证据[J].金融论坛,2022(3):43-52.
[18]吴梦菲,徐斯旸,陈辉.出售还是质押?——基于新三板股票转让方式变更的准自然实验[J].金融经济学研究,2022(4):112-128.
[19]张维迎.博弈论与信息经济学[M].上海:格致出版社,2004。
[20]Chemmanur T.J.,Fulghieri P..Competition and Cooperation Among Exchanges:A theory of Cross-Listing and Endogennous Listing Standards[J].Journal of Financial Economics,2006(2):455-489.
[21]Broom K..The Nasdaq Restructuring:Do Names Even Matter?[J].International Journal of Financial Research,2013(2):1-18.
[22]Amihud Y.,Mendelson H.Asset Pricing and the Bid-ask Spread[J].Journal of Financial Economics,1986(2):223-249.
[23]Merton R..A Simple Model of Capital Market Equilibrium with Incomplete Information[J].Journal of Finance,1987(3):483-510.
[24]Fabozzi F.J..Does Listing on the AMEX Increase the Value of Equity?[J].Financial Management,1981(1):43-50.
[25]Sanger G.C,McConnell J.J..Stock Exchange Listings,Firm Value,and Security Market Efficiency:The Impact of NASDAQ[J].Journal of Financial and Quantitative Analysis,1986(1):1-25.
[26]Kadlec G.B,McConnell J.J..The Effect of Market Segmentation and Illiquidity on Asset Prices:Evidence From Exchange Listings[J].Journal of Finance,1994(2):611-636.
[27]Sanger G.C,Peterson J.D..An Empirical Analysis of Common Stock Delistings[J].Journal of Financial and Quantitative Analysis,1990(2):261-272.
[28]Macey J.,O’Hara M.,Pompilio D..Down and out in the Stock Market:The Law and Economics of the Delising Process[J].Journal of Law & Economics,2008(4):683-713.
[29]Baker H.K.,Powell G.E.,Weaver D.G..Listing Changes and Visibility Gains[J].Quarterly Journal of Business and Economics,1999(1):46-63.
[30]Angrist J.D.,Pischke J..Mostly Harmless Econometrics:An Empiricist’s Companion[M].Princeton:Princeton University Press,2009.
[31]赵燕.新三板股权质押业务研究[J].新金融,2016(11):41-44.
[32]Baron R.M.,Kenny D.A..The Moderator-Mediator Variable Distinction in Social Psychological Research:Conceptual,Strategic,and Statistical Considerations[J].Journal of Personality and Social Psychology,1986(6):1173-1182.
[33]江艇.因果推断经验研究中的中介效应与调节效应[J].中国工业经济,2022(5):100-120.
[34]陈辉,顾乃康.新三板做市商制度、股票流动性与证券价值[J].金融研究,2017(4):176-190.
[35]陈辉.做市服务的供求分析新框架及其对股票流动性的影响[J].财贸经济,2017(1):84-98.
[36]Egger P.,Wamser G..The Impact of Controlled Foreign Company Legislation on Real Investments Abroad.A Multi-Dimensional Regression Discontinuity Design[J].Journal of Public Economics,2015(1):77-91.
[37]Becker S.,Egger P.H.,von Ehrlich M..Absorptive Capacity and the Growth and Investment Effects of Regional Transfer:A Regression Discontinuity Design with Heterogeneous Treatment Effects[J].American Economic Journal:Economic Policy,2013(4):29-77.
[38]Calonico S.,Cattaneo M.D.,Farrell M.H..Optimal Bandwidth Choice for Robust Bias-corrected Inference in Regression Discontinuity Designs[J].Econometrics Journal,2020(2):192-210.

备注/Memo

备注/Memo:
收稿日期:2022-07-19
基金项目:国家社会科学基金项目“多层次资本市场的跨层次资源配置功能研究”(21BJY078)
作者简介:吴梦菲(1989—),女,湖北武汉人,讲师,研究方向为资本市场与公司金融; 陈辉(通信作者)。
更新日期/Last Update: 2023-01-25