An Empirical Research On Pricing Liquidity Option In The Equity Division Reform

The Chinese stock market has non-tradable stock and tradable stock two kinds of stocks because of the special historical reason. It is restricting the stock market further development seriously that two kind of stocks have different rights, different values and different incomes. The reform on equity divisional structure is a capital market important reform, not only is beneficial to consummate the capital market pricing mechanism, strengthen the listed company's market restraint, and fully display the capital market functions, but also is beneficial to the state-owned enterprise's transformation and the state economy layout strategic adjustment, that relate to the market company's long term development and investor's vital interest.First, this article in detail statistical depiction the share-holder structure of Chinese list companies before the reform. Then, we study the consideration base on the liquidity of the stock, compare the theoretical consideration and the practical.This paper proposes establishing an equity division game model with the dynamic game thought. Through analyzing the rational behaviors of two players of game and getting the result of model. It is rational choose that the players agree with the proposal of consideration the guarantee both sides will not suffer loss through the classified vote mechanism. The more difficult of the negotiations, and the more proportion of the non-tradable stock, the consideration is bigger.At last, this article gives an empirical study on the factors of the consideration. The results indicate that the proportion of the non-tradable stock have significant positive impacts on the consideration, the concentration of the tradable-stock holder, the credit-worthiness of the company and property of the company have significant negative impacts on the consideration.