新三板做市商制度、股票流动性与证券价值

doi:10.12094/1002-7246(2017)04-0176-15

Journal of Financial Research

2017, Vol. 442

Issue (4): 176-190 DOI: 10.12094/1002-7246(2017)04-0176-15

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The Mechanism of Market Making in the New Third Board, Stock Liquidity, and Securities Values

CHEN Hui, GU Naikang

Department of Finance, Guangdong University of Finance
Business School, Sun Yat-sen University

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Abstract This paper analyzes the influence of the companies’ trading mechanism in the new third board transferring from negotiating transfer to market making transfer on stock liquidity and securities values. The results show that, compared with the matched group, the stock liquidity of the treatment group that has changed their trading mechanism is higher; there is a positive average cumulative abnormal return around the event day in the treatment group, but this phenomenon does not exist in the matched group; the relationship between cumulative abnormal return and the change of stock liquidity is positive, and this result does not change after controlling the sample-selection bias; the relationship between the change of stock liquidity and the number of market makers is positive, and this result does not change after controlling the sample-selection bias. These results mean that, there are positive effects of market making on stock liquidity and firm value, and we can’t deny these effects when we observe the variation of the total turnover of the new third board. The paper also gives some policy suggestions for the new third board.

Key words： New Third Board Market Making Transfer Negotiating Transfer Market Maker Stock Liquidity Security Value

Received: 12 May 2016 Published: 18 January 2018

JEL分类号:	G14
	G18
	G24

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CHEN Hui,GU Naikang. The Mechanism of Market Making in the New Third Board, Stock Liquidity, and Securities Values[J]. Journal of Financial Research, 2017, 442(4): 176-190.

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http://www.jryj.org.cn/EN/10.12094/1002-7246(2017)04-0176-15 OR http://www.jryj.org.cn/EN/Y2017/V442/I4/176

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