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在极端收益风险形成机理的现有研究中,交易环节是其逻辑链条中缺失的一环;对于做市转让制度的实施效果,现有实证研究也普遍忽视了其对极端收益风险的影响。文章从交易环节入手,提出了一个解释极端收益风险形成机理的新假说,并以新三板市场引入做市转让制度为契机,实证考察了股票转让方式和极端收益风险之间的关系。研究发现:(1)与实施协议转让的股票相比,实施做市转让的股票极端收益风险显著较低,但更多的做市商并未带来显著更低的极端收益风险;(2)做市转让方式对股价暴涨风险的抑制作用在熊市中较强,对股价暴跌风险的抑制作用则在牛市中较强;(3)股票转让方式对极端收益风险的影响主要通过股票流动性路径起作用,而信息有效性路径会起作用主要是因为信息有效性和股票流动性之间的高相关性。使用处理效应模型来控制自选择偏差的影响,使用不同的极端收益风险度量指标,延长极端收益风险的计算窗口,均不改变上述实证结果。这表明,交易环节是影响极端收益风险的重要因素,做市转让方式的引入有助于降低新三板挂牌公司的极端收益风险。文章对于深入理解极端收益风险形成机理、改善新三板市场交易机制具有重要的意义。
In the existing research on the formation mechanism of extreme return risk, the transaction link is the missing link in the logic chain. For the implementation effect of the market-transfer system, the existing empirical studies generally ignore its impact on the extreme return risk. Starting with the transaction, the article proposes a new hypothesis to explain the formation mechanism of extreme return risk. Taking the opportunity of introducing the market making transfer system into the new three-board market, the article empirically examines the relationship between the stock transfer method and the extreme return risk. The findings are as follows: (1) There is a significantly lower risk of extreme return of the stocks carrying out the market making transfer compared with those of the shares transferred by the agreement, but more market makers do not bring significantly lower risk of extreme return; (2) The inhibitory effect of the market-making transfer on the risk of stock price surge is stronger in the bear market and the inhibition of the stock price plunge risk is stronger in the bull market. (3) The impact of the stock transfer method on the extreme return risk mainly starts from the stock liquidity path Role, and the path of information effectiveness will work mainly because of the high correlation between the effectiveness of information and stock liquidity. Using the treatment effect model to control the impact of self-selection bias, using different extreme return risk measures and extending the window for calculating extreme return risks, do not change the empirical results above. This shows that the trading session is an important factor affecting the risk of extreme returns. The introduction of a market making transfer helps to reduce the extreme return risk of the newly listed companies. The article is of great significance for understanding the formation mechanism of extreme return risk and improving the trading mechanism of the new Third Board.