新股发行对上证指数波动影响的实证分析

发布时间：2018-01-15 12:35

本文关键词：新股发行对上证指数波动影响的实证分析　出处：《辽宁大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文分为五个部分来研究新股发行和上证综指之间的相互关系，，运用描述性统计工具和计量经济模型两者相结合，阐述了上述两者之间存在的关系，初步得出了结论，即短期内，新股发行对指数的涨跌构成冲击，从长期角度来看，两者之间不存在明显的显著关系。同时本文选出了2007年至2012年上海发行的100亿市值以上的股票，将其上市前后各五天数据和在此期间上证综指的表现结合起来，得出了大市值股票的发行对指数的冲击影响比小市值的股票更加明显。通过一系列的分析和实证检验结果，最后提出了相关的政策和建议，认为新股的发行与否更多的是影响市场参与者的心理预期，对资本市场的基本走势和趋势不会产生根本的影响，不会打乱其原有的运行节奏。政府层面应该在适当时期以适当的速度去发行新股，要严格控制住新股的质量和上市标准，建立起一整套的新股发行的审批制度和严格的监管体系。
[Abstract]:This paper is divided into five parts to study the relationship between the new issue and the Shanghai Composite Index, using descriptive statistical tools and econometric model to explain the relationship between the above two. The preliminary conclusion is that in the short term, the new issue will impact the index. In the long run, there is no obvious relationship between the two. At the same time, this paper selects 10 billion stocks issued in Shanghai from 2007 to 2012, combining the data of five days before and after listing and the performance of the Shanghai Composite Index during this period. It is concluded that the impact of the issuance of the Grand market value stock on the index is more obvious than that of the lesser market value stock. Through a series of analysis and empirical test results, finally put forward the relevant policies and recommendations, think that the issue of new shares is more likely to affect the psychological expectations of market participants. The basic trends and trends of capital markets will not have a fundamental impact, will not disrupt its original pace of operation. The government level should issue new shares at the right time and at the right speed. It is necessary to strictly control the quality and listing standards of new shares, and establish a set of approval system and strict supervision system for new stock issuance.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

【参考文献】