Study On The Rate Of The Equity Pledge Of NEEQ Market Making Shares

With the increasing of the default of the NEEQ equity pledge,this paper analyzes the the main problems of equity pledge,which lie on regulation,risk control,pledge pricing and information disclosure.This paper focus on pledge pricing and try to establish the framework of equity pledge pricing analysis by studying the market-making stocks.This paper mainly analyzes the factors that influence the equity pledge rate of stock,using the VAR method of equity pledge rate,and applies this method to the equity pledge contract case,and try to analyze why the equity pledge contract had broken,to provide the reference for the parties to carry out the equity pledge business.The analysis on the factors influencing the equity pledge rate focuses on the impact of the company's profitability,cash flow and solvency,operating capacity(Fundamentals),stock price volatility(trading),the industry index rate of change(industry factors)on equity pledge rate.The results show that the solvency,cash flow and stock price volatility have a significant impact on the equity pledge rate.This paper analyzes the rationality of the regression results from the default risk and position risk of equity pledge.In the research of VAR method of stock equity pledge rate,this paper constructs a VAR model,select the NEEQ market making stocks with better liquidity,to determine the fair value,risk-free value of the stock,using the ratio of risk-free value to fair value of the stock as the equity pledge rate under the VAR method.As the verification of the model,this paper focuses on the analysis of the stock pledge cases of DianDianKe and Feng Sheng Yang.The equity pledge of DianDianKe is successful,equity pledge rate calculated by VAR and the actual rate of equity pledge is relatively close.The VAR method is applied to the case of Feng Sheng Yang equity pledge default.The fundamentals of the company that influnce equity pledge rate have become bad,the actual pledge rate is significantly higher than the mortgage rate calculated by the VAR method.The analysis of Feng Sheng Yang equity pledge events shows the major shareholders in the company's operating and equity pledge risk point.If Participants refer to the equity pledge rate under the VAR method in advance,they can effectively identify and reduce the pledge risk.In the process of carrying out the new board equity pledge business,participants can make a preliminary analysis on the enterprise's solvency,cash flow and trading market,then combine the results with the pledge rate that VAR quantitative model of the enterprise equity to make a comprehensive judgment,at last they can determine a reasonable equity pledge rate.Through this research process,this paper hopes to provide practical reference for the NEEQ equity pledge business.