| 摘要: |
| 创业板注册制改革是我国资本市场改革的重要举措，对股市有着重大影响。本文以沪深两市A股上市公司为样本，利用创业板实施注册制这一外生冲击，运用倾向得分匹配法与双重差分模型（PSM-DID）考察政策实施前后股价波动的变化。研究结果表明：（1）注册制改革对创业板股价波动有正向影响，但随着时间的推移其影响逐渐减弱；（2）信息披露质量的提升与机构持股比例的增加能够抑制注册制改革对创业板股价波动的正向影响；（3）创业板注册制改革对小规模、低盈利、高换手率公司股价波动的影响更大。因此，在实施注册制的同时，我国证券市场应尽快完善信息披露制度，大力发展机构投资者，重视投资者教育，加大监管力度，推动资本市场平稳健康发展。 |
| 关键词: 关键词：注册制；股价波动；创业板；PSM-DID |
| DOI： |
| 分类号:F830.91 |
| 基金项目:：国家自然科学基金面上项目“机构共同持股下的实体企业影子银行化同群效应：表征识别、驱动机理与经济后果”（72072146）；重庆市社会科学规划项目“大数据背景下上市公司中小投资者权益保护研究”（2020YBJJ55）；西南大学智能金融与数字经济研究院重点项目“基于大数据的量化投资策略研究”（20YJ0203）。 |
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| The Impact of Registration System Reform on Stock Price Volatility of GEM：An Empirical Research Based on PSM-DID Model |
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SHEN Bing，LONG Xing-liao
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（School of Economics and Management，Southwest University）
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| Abstract: |
| The registration system reform of Growth Enterprises Market (GEM) is an important measure of China’s capital market reform，which has a significant impact on the stock market.With the implementation of the registration system in the GEM as an external impact，based on the data of A-share listed companies on Shanghai Stock Exchange and Shenzhen Stock Exchange as a sample，this study examines the changes of stock price volatility before and after the implementation of the policy through the propensity score matching method and the difference-in-differences model (PSM-DID).The results show that：(1)the registration system reform has a positive impact on the stock price volatility of GEM，but its impact gradually weakens as time goes by；(2)The improvement of the quality of information disclosure and the increase of the proportion of institutional ownership can restrain the positive impact of registration system reform on stock price volatility of GEM；(3)The GEM registration system reform has a stronger impact on companies with small scale，low profit，and high turnover.Therefore，it is suggested that China’s securities market should improve the information disclosure system as soon as possible，strongly develop institutional investors，attach importance to investor education，strengthen the power of supervision while implementing the reform of the registration system，so as to promote steady and healthy development of the capital market. |
| Key words: Key words：Registration System；Stock Price Volatility；GEM；PSM-DID |
