我国IPO发行对股市波动的影响研究

发布时间：2018-02-27 14:17

本文关键词： IPO 股市波动性 GARCH模型　出处：《西北大学》2013年硕士论文　论文类型：学位论文

【摘要】：股市波动性问题一直是中外学者在现代金融领域研究的一个重要问题。适度的波动有助于实现资源的有效配置,有利于整个股市保持适度的流通性。但是过度的波动会破坏股票价格传导机制,不利于资源的有效配置,从而导致市场效率的损失。根据有关数据显示,2009年全年A股市场IPO上市数量111家,2010年上市数量达到349家,2011年全年A股IPO上市数量277家,相比上一年虽有所降低,但相比08、09年仍是大幅提升。在IPO发行大幅增加的同时,我国股市也出现较大震荡,近几年来几乎每年股市都会出现暴涨暴跌。股市的长期振荡,给广大股民造成了严重的损失,同时也影响了对经济的预期,这对于我国国民经济的健康发展极为不利。有人将股市长期的振荡归罪于IPO的过度发行。IPO发行是否对股市波动有一定的影响?这一问题十分有待探究,因此本文主要从实证角度出发,结合相关理论,运用GARCH模型研究IPO发行对股市波动的影响。理论部分主要分析在半强式有效市场及弱有效市场下,从微观及宏观两个角度分析IPO发行对股市波动的影响。微观上对投资者进行分类,不同投资者对股票IPO这一新信息的反应不同,使得股票价格脱离了其内在价值,加剧股市波动；宏观上从股票IPO发行市盈率、股票IPO的发行规模及IPO发行频率这三个角度分析IPO发行对股市波动的影响。实证部分是本文研究中最重要的一部分,数据主要选取2006年6月至2011年12月的上证A股指数日收盘价以及期间发行的IPO。主要运用GARCH模型来分析我国上证A股指数的波动性,同时对IPO进一步分解为股票IPO的发行市盈率、股票IPO的发行规模、IPO发行频率来研究其各自对股市波动的影响,其中股票IPO的发行规模用筹资规模与发行股本量这两个变量分别进行刻画。根据实证分析结果,本文主要结论有：1、股票IPO发行市盈率、股票IPO筹资规模及发行股本量会进一步加剧股市波动,但影响不大,说明IPO发行对股市波动仅有一小部分的影响,除此之外还有很多因素对股市波动有影响；2、IPO发行频率越高,股市波动性相对增大。本文主要从IPO角度研究其对股市波动的影响。旨在为金融监管部门更有效地管理IPO的发行,减少股票市场异常波动提供一定的理论依据,提高我国的金融监管效率；同时也为投资者投资分析提供一定的信息参考。
[Abstract]:The volatility of stock market has been an important issue in the research of Chinese and foreign scholars in the field of modern finance . Appropriate fluctuation contributes to the effective allocation of resources , which is beneficial to the proper liquidity of the whole stock market . However , excessive volatility can destroy the mechanism of stock price transmission , which is not conducive to the effective allocation of resources , thus leading to the loss of market efficiency . According to the data , the number of IPO in the A - share market in 2009 is 111 , the number of IPO in 2010 is 349 , the number of IPO in the whole year of 2011 is 277 , but compared with that of the previous year , the stock market also has a big rise . In recent years , the stock market also has a big shock . In recent years , the stock market has suffered severe losses , and meanwhile , it has influenced the expectation of the economy . Whether IPO issuance has some influence on the fluctuation of the stock market ? This question is very much to be explored . Therefore , this paper mainly studies the influence of IPO issuance on the fluctuation of stock market from the empirical perspective . This paper mainly analyzes the influence of IPO issuance on stock market volatility from microcosmic and macro perspectives in the semi - strong effective market and weak effective market . This paper mainly studies its influence on the fluctuation of stock market from the IPO angle . It aims to provide some theoretical basis for more effective management of IPO issuance , reduce abnormal fluctuation of stock market , improve the financial supervision efficiency of our country , and provide some information reference for investors ' investment analysis .

【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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