中国A股市场股票需求弹性研究
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摘要
本文以中国A股市场IPO锁定期解除事件和股改锁定期解除事件为研究对象,从供给冲击的角度实证分析事件日前后股票价格和成交量变化,发现有显著的供给冲击效应,表现为价格下降和成交量增长。IPO样本平均累计异常收益率达-2.30%,股改样本平均累计异常收益率达-2.23%,两类样本平均累计异常收益率在两个月内都没有出现反转。同时,IPO和股改两类样本均发现有显著的短期平均异常成交量和永久性平均异常成交量,短期平均异常成交量分别为+126%和+220%,永久性平均异常成交量分别为+33.2%和+39.3%。
以上述统计发现为基础,考虑供给冲击流动性正效应,本文建立了异常收益率回归模型,利用IPO和股改供给冲击数据,回归测度中国A股股票需求弹性,得出股票需求弹性有限的实证结果。IPO样本股票需求弹性为-52.73,即股票价格下降1%,需求量将增加52.73%,牛市与熊市未发现弹性值显著变化;股改样本得出有限且动态变化的股票需求弹性特征,牛市和熊市股票需求弹性相对较低,分别为-2.40和-7.85,而震荡市期间股票需求弹性达到-227.6,这一弹性值表明震荡市期间A股市场具有较强的新增股票吸纳能力。
基于个股需求弹性有限假设和供给冲击外部性效应,本文进一步对市场收益率进行研究,采用香港市场与国内市场事实存在的联动性关系,建立了一个市场回归模型,检验供给冲击是否会对市场收益率产生系统性影响,探求A股的市场需求弹性特征。结果表明,A股市场收益率与锁定期股票解禁比例和减持比例有较强的相关性,统计检验显著。因此,不能排除A股市场需求弹性有限的假设。
本文研究具有一定的创新性:在研究个股需求弹性时提出股票在受到供给冲击时会有正负两方面效应,并且将其应用到建模中,实证结果优于单效应模型;考虑中国A股市场供给冲击的特征与过往国际市场案例不同,本文的研究为通过供给冲击来实证研究股票需求弹性问题提供了一个更有力度的证据;基于有限股票需求弹性假设和供给冲击外部性效应,本文利用市场之间联动性建立了一个研究市场需求弹性特征的新框架,并进行了实证检验。
This paper studies on the IPO and share split reform lock-up expiration events at Chinese A share market. Empirically analyzes the changes in stock price and trading volume before and after the event day in a perspective of supply shocks, and finds that there exists significant supply shocks effects characterized by a drop in the stock price and an increase in trading volume. The CAAR (Cumulative Average Abnormal Return) of IPO sample yields a rate of -2.30% while the reform sample yields a -2.23%, both of which don’t appear inverted in two months. Meanwhile, we find sig-nificant change in short-term mean abnormal trading volume of +126% and +220% for IPO sample and reform sample respectively, as well as in long-term mean abnor-mal trading volume of +33.2% and +39.3%.
Based on the above summary statistics and considering the positive liquidity ef-fects of supply shocks, this paper establishes a CAR regression model to calculate the demand elasticity of stocks at Chinese A share market by use of IPO and share split reform data and thus gets an empirical result that the demand elasticity of stocks is finite. For the IPO sample, the demand elasticity is -52.73. For the share reform sam-ple, we get a dynamic but finite feature of the demand elasticity: low elasticity num-bers of -2.40 and -7.85 for bull market and bear market respectively but high elastici-tynumber of -227.6 for fluctuant market. The high elasticitynumber shows that A share market can absorb more new stocks at shocks.
According to the hypothesis of limited demand elasticity of stocks and the ex-ternalities of supply shocks, this paper makes a further research on market return to examine whether supply shocks have a systematic impact on it, considering the fac-tual correlation between Hongkong and domestic stock markets. Therefore, a market regression model is etablished to explore the features of demand elasticity at A share maket. Our result shows that there exists a strong correlation between A share market return and proportions of unlock-up and reducing shares, where the statistic test is significant. Therefore, we can’t reject the hypothesis of finite demand elasticity of market.
The innovation of this paper is: we propose that supply shocks have both posi-tive and negative effects on the demand elasticity of stocks and apply it to our regres-sion model. This study provides stronger empirical evidence that supply shocks have significant effects on the demand elasticity of stocks. Based on the hypothesis of li-mited demand elasticity of stocks and the externalities of supply shocks, this paper makes a new framework for the research on market demand elasticity by using the correlation among different markets, and also make an empirical test on it.
以上述统计发现为基础,考虑供给冲击流动性正效应,本文建立了异常收益率回归模型,利用IPO和股改供给冲击数据,回归测度中国A股股票需求弹性,得出股票需求弹性有限的实证结果。IPO样本股票需求弹性为-52.73,即股票价格下降1%,需求量将增加52.73%,牛市与熊市未发现弹性值显著变化;股改样本得出有限且动态变化的股票需求弹性特征,牛市和熊市股票需求弹性相对较低,分别为-2.40和-7.85,而震荡市期间股票需求弹性达到-227.6,这一弹性值表明震荡市期间A股市场具有较强的新增股票吸纳能力。
基于个股需求弹性有限假设和供给冲击外部性效应,本文进一步对市场收益率进行研究,采用香港市场与国内市场事实存在的联动性关系,建立了一个市场回归模型,检验供给冲击是否会对市场收益率产生系统性影响,探求A股的市场需求弹性特征。结果表明,A股市场收益率与锁定期股票解禁比例和减持比例有较强的相关性,统计检验显著。因此,不能排除A股市场需求弹性有限的假设。
本文研究具有一定的创新性:在研究个股需求弹性时提出股票在受到供给冲击时会有正负两方面效应,并且将其应用到建模中,实证结果优于单效应模型;考虑中国A股市场供给冲击的特征与过往国际市场案例不同,本文的研究为通过供给冲击来实证研究股票需求弹性问题提供了一个更有力度的证据;基于有限股票需求弹性假设和供给冲击外部性效应,本文利用市场之间联动性建立了一个研究市场需求弹性特征的新框架,并进行了实证检验。
This paper studies on the IPO and share split reform lock-up expiration events at Chinese A share market. Empirically analyzes the changes in stock price and trading volume before and after the event day in a perspective of supply shocks, and finds that there exists significant supply shocks effects characterized by a drop in the stock price and an increase in trading volume. The CAAR (Cumulative Average Abnormal Return) of IPO sample yields a rate of -2.30% while the reform sample yields a -2.23%, both of which don’t appear inverted in two months. Meanwhile, we find sig-nificant change in short-term mean abnormal trading volume of +126% and +220% for IPO sample and reform sample respectively, as well as in long-term mean abnor-mal trading volume of +33.2% and +39.3%.
Based on the above summary statistics and considering the positive liquidity ef-fects of supply shocks, this paper establishes a CAR regression model to calculate the demand elasticity of stocks at Chinese A share market by use of IPO and share split reform data and thus gets an empirical result that the demand elasticity of stocks is finite. For the IPO sample, the demand elasticity is -52.73. For the share reform sam-ple, we get a dynamic but finite feature of the demand elasticity: low elasticity num-bers of -2.40 and -7.85 for bull market and bear market respectively but high elastici-tynumber of -227.6 for fluctuant market. The high elasticitynumber shows that A share market can absorb more new stocks at shocks.
According to the hypothesis of limited demand elasticity of stocks and the ex-ternalities of supply shocks, this paper makes a further research on market return to examine whether supply shocks have a systematic impact on it, considering the fac-tual correlation between Hongkong and domestic stock markets. Therefore, a market regression model is etablished to explore the features of demand elasticity at A share maket. Our result shows that there exists a strong correlation between A share market return and proportions of unlock-up and reducing shares, where the statistic test is significant. Therefore, we can’t reject the hypothesis of finite demand elasticity of market.
The innovation of this paper is: we propose that supply shocks have both posi-tive and negative effects on the demand elasticity of stocks and apply it to our regres-sion model. This study provides stronger empirical evidence that supply shocks have significant effects on the demand elasticity of stocks. Based on the hypothesis of li-mited demand elasticity of stocks and the externalities of supply shocks, this paper makes a new framework for the research on market demand elasticity by using the correlation among different markets, and also make an empirical test on it.
引文
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[2] Barclay, M.J. and R.H. Litzenberger, 1988, Announcement effects of new equity issues and the use of intraday price data, Journal of Financial Economics 21, 71-99.
[3] Biktimirov, Ernest N., Arnold R. Cowan and Bradford D. Jordan, 2004. Do de-mand curves for small stocks slope down? Journal of Financial Research 27, 161–178.
[4] Brigham, E.F. and L.C. Gapenski, 1987, Intermediate Financial Management, (Dryden Press, Chicago)
[5] Bwo-Nung Huang Chin-Wei Yang and John Wei-Shan Hu, 2000:“Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle”International Review of Financial Analysis, 9: 281-287.
[6] Chakrabarti, R., W. Huang and N. Jayaraman, 2002. Do International Investors Demand Curves for Stocks Slope Down Too?, Working paper, DuPree College of Management
[7] Cochrane, John, 2002. Stocks as money: Convenience yield and the tech-stock bubble, Working paper, University of Chicago.
[8] Cristina Vespro, 2001. Price effects of composition changes in the CAC40 and SBF120 indeces,working paper,Freie Universite Brussel,s.1-38
[9] Elliott, W.B., B.F. Van Ness, M.D. Walker, and R.S. Warr, 2006.“What Drives the S&P 500 Inclusion Effect? An Analytical Survey,”Financial Management 35(4), 31-48.
[10] Eric J. Levin and Robert E. Wright, 2001. Downwards Sloping Demand Curves for Stock? Studies in Economics and Finance. Vol. 23, no. 1, pp. 51-74. 2006
[11] Fields, Laura, and Gordon Hanka, 2001. The expiration of IPO share lockups, Journal of finance 56, 471-500.
[12] Greenwood, Robin, 2004. Short-and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage, Forthcoming, Journal of Financial Economics.
[13] Harris, L., and Gurel, E., 1986. Price and volume effects associated with changes in the S&P 500: New evidence for the existence of price pressures. Journal of Finance 41 (September):815–29.
[14] Hrazdil, K., 2008a. S&P 500 index inclusion announcements: Does the S&Pcommittee tell us something new? working paper, Simon Fraser University.
[15] Hrazdil, K., 2008b.“The effect of demand on stock prices: New evidence from S&P 500 weight adjustments”, working paper, Simon Fraser University.
[16] Hsiu-Lang Chen, 2006.On Russell index reconstitution,Rev Quant Finan Acc (2006) 26: 409–430 DOI 10.1007/s11156-006-7441-3
[17] Jain, P., 1987. The effect on stock price of inclusion in or exclusion from the S&P 500. Financial Analysts Journal 43, 58-65.
[18] Jensen, Michael C., 1986. Agency Costs of Free Cash Flow, Corporate Finance, and takeovers , American Economic Review 76, 323-329.
[19] Kandel, S., Sarig, O.,and Wohl, A., 1999. The demand for stocks: An analysis of IPO auctions.Review of Financial Studies 12 (Summer): 227–47.
[20] Kaul, A., Mehrotra, V., Morck, R., 2000. Demand Curves for Stocks Do Slope Down: New Evidence from and Index Weights Adjustments. The Journal of Finance 55 (2), 893-912.
[21] Ken L. Bechmann, 2004. Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index.Multinational Finance Journal, 2004, vol. 8, no. 1 & 2, pp. 3–34
[22] Liu, Yu-Jane, K.C. John Wei and Gwohorng Liaw, 2002. On the Demand Elastic-ity of Initial Public Offerings: An Analysis of Discriminatory Auctions, Interna-tional Review of Finance, forthcoming.
[23] Loderer, C.; Cooney, J.; and Van Drunen, L., 1991. The price elasticity of demand for common stock. Journal of Finance 46 (June): 621–51.
[24] Lynch, A. W., and Mendenhall, R. R., 1997. New evidence on stock price effects associated with changes in the S&P 500 Index. Journal of Business 70 (July): 351–83.
[25] Mark Mitchell, Todd Pulvino,and Erik Stafford, 2004. Price pressure around mergers,Journal of finance 59,31-63
[26] Merton, R.C., 1987, A simple model of capital market equilihrium with incom-plete information. Journal of Finance 42, 483-510.
[27] Mikkelson, W,H. and M.M. Partch, 1985. Stock price effects and costs of sec-ondary distributions.Journal of Financial Economics 14, 165-194.
[28] Miller, M.H. and K. Rock, 1985, Dividend policy under asymmetric information, Journal of Finance 40, 1031-1051.
[29] Modigliani, Franco and Merton Miller, 1963. the Cost of Capital, Corporation Finance and the Theory of Investment. American Economic Review 48, 261-297.
[30] Myers, S,C, and N.S. Majluf, 1985, Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13, 187-221.
[31] Ofek, Eli, and Matthew Richardson, 2000. The IPO lock-up period: Implications for market efficiency and downward sloping demand curves, Woking paper, New York University.
[32] Ofek, Eli, and Matthew Richardson, 2003. DotCom mania: The rise and fall of internet stock prices, Journal of Finance 58, 1113-1137.
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