中国股市新股破发及其成因研究

发布时间：2018-01-07 16:13

本文关键词：中国股市新股破发及其成因研究　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来，中国股市新股破发的现象频频出现，破发比例和破发幅度均远高于发达资本市场的水平。本文以2010——2012年中国A股市场破发的新股为样本，对新股破发的现象进行分析和检验，探寻新股破发的成因，并根据研究结论提出相应的政策建议。本文采用理论分析与实证分析相结合的方法展开研究，全文共分四章。第一章绪论，主要介绍本文选题背景以及研究目的，国内外研究综述，并对本文的研究方法和思路进行说明。第二章是中国股市破发的新股的现状分析，对破发的概念进行界定，对研究样本进行描述性统计分析，从样本的行业分布、上市板块分布、上市前盈利指标等方面进行统计，对新股破发的程度进行测算。第三章和第四章是新股破发主要成因的探讨。其中，第三章探寻一级市场高定价对新股破发的影响，首先结合中国新股发行制度的现状以及信息不对称理论，推演出一级市场高定价是导致新股破的原因的研究假设，然后通过剩余收益价值模型测算新股内在价值并与实际发行价格进行差异性检验，通过随机前沿成本函数检验样本一级市场定价是否存在随机前沿下边界；最后根据实证结果对一级市场发行制度提出政策建议。第四章探寻二级市场投资者情绪对新股破发的影响。首先总结中国二级市场投资者的分布特征，结合投资者情绪理论模型，推演出二级市场投资者情绪是导致新股破发的原因的研究假设；然后通过多元回归分析对该研究假设进行检验，通过因子分析构建综合情绪指标并再次检验投资者情绪对新股破发的影响，最后根据研究结论对二级市场投资者情绪引导提出相应的政策建议。本文的主要研究结论是：（1）中国股市近三年新股的平均破发比例为18.32%，破发幅度达6.52%，电子信息技术行业新股破发幅度最大，，主板上市公司破发概率最大，从上市前主要盈利指标来看，破发的上市公司好于同期抑价的上市公司。（2）新股破发原因之一是一级市场发行人和承销商存在高定价的动机，发行价格高于新股的内在价值且二者存在显著差异，一级市场定价存在随机前沿下边界，即存在显著的高定价行为。（3）新股破发的另外一个原因是二级市场的投资者情绪，投资者情绪对新股破发的影响显著，投资者情绪越低落，新股破发的幅度越大。
[Abstract]:In recent years, China stock shares break phenomenon appeared frequently break and break the proportion of margin was much higher than that in the developed capital market level. Based on the 2010 - 2012 Chinese A stock market to break new shares as the sample, test and analysis of the new break phenomenon, explore new shares break the causes, and put forward the corresponding policy suggestions according to the research conclusion.
The research is carried out by combining theoretical analysis and empirical analysis, this paper consists of four chapters. The first chapter is the introduction, mainly introduced the research background, research purpose, research at home and abroad, and the methods and ideas of this research. The second chapter is the analysis of China stock market break new situation, define to break the concept of descriptive statistical analysis of the sample, the sample from the distribution industry, market segment distribution, prior to listing the profitability indicators and other aspects of statistics, to break new degree were calculated. The third chapter and the fourth chapter is to discuss the main causes of the new break. Among them, the third chapter explores the influence of a high level of market pricing to break new shares, first with the status quo of China IPO system and information asymmetry theory, deduce a market pricing is the research hypothesis of the breaking cause of new shares Then, by calculating the value of residual income model shares the intrinsic value and the actual issue price difference test, through the stochastic frontier cost function test samples of the primary market pricing exists under the stochastic frontier boundary; finally according to the empirical results of the paper put forward policy suggestions on IPO market. The fourth chapter explores the influence of investor sentiment on the market two the new break. First summarizes the distribution characteristics of Chinese two secondary market investors, combined with investor sentiment theory model, deduce the investor level two market sentiment is the cause of the break new research hypothesis; then through multiple regression analysis to test hypotheses of the study, through factor analysis to construct the comprehensive sentiment index and again test the impact of investor sentiment to break new shares, according to the research results on the two level of market investors emotional guidance and put forward the corresponding policy Suggestions.
The main conclusions are as follows: (1) Chinese stock market for nearly three years the average shares break ratio of 18.32%, the break rate of 6.52%, the electronic information technology industry shares break the biggest break probability from the listed company listed on the main board, the main profit indicators, breaking the listed companies better than the same period of the underpricing of listed company. (2) the new break is one of the reasons for the presence of high pricing motives and underwriters to issue a market, there was significant difference between the issue price is higher than the intrinsic value of the shares and the two, the level of market pricing has a stochastic frontier boundary, namely high pricing behavior significantly. (3) another reason shares the break is the two secondary market investor sentiment, the influence of investor sentiment on the new break significantly, investors are more depressed, the new break of greater magnitude.

【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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