IPO锁定期解除对中国A股市场影响的分析

发布时间：2018-06-19 05:32

本文选题：IPO锁定期 + 博弈论　；参考：《宁波大学》2013年硕士论文

【摘要】：本文从理论和实证的角度分别阐述IPO锁定期解除对中国A股市场影响的内在机理和外在表现，基于研究中发现的问题提出政策建议。在理论部分的研究中，本文把IPO锁定期解除前后的投资博弈主体分为IPO限售股股东、长期投资者和短期投资者三种类型，通过分析各类投资者的行为模式（偏好）确定各自的效用函数，构建完全信息的静态博弈模型、不完全信息的静态博弈模型、不完全信息的动态博弈模型，分析三类投资者在各种假设条件下满足效用最大化原则的投资策略。在实证部分的研究中，本文首先回归分析IPO锁定期解除对中国A股指数的影响，接着通过事件研究法分析IPO锁定期解除和IPO锁定期解除前后原始股东股份变动对股价的影响，然后比较IPO锁定期解除前是否存在增持行为对IPO锁定期解除前后股价影响的差异，最后比较IPO锁定期解除和IPO锁定期解除后原始股东减持对股价影响的差异。在政策建议部分，本文从延长锁定期限、加强信息披露、增加减持限制、调整融资结构、鼓励兼并重组等角度分别进行相关阐述。本文主要的研究结论有：（1）IPO锁定期为3年以下的股票解禁数量和市值是股指波动的重要原因。（2）IPO锁定期解除事件在较短时间内对股价具有明显的负效应，其影响主要集中在IPO锁定期解除前。（3）解禁市值、股票估值和解禁股东数量在IPO锁定期解除前后与股票的CAR（累计异常收益）负相关；控股股东解禁股票在IPO锁定期解除后有较高的CAR；解禁股份占该公司总股本比例较高时，IPO锁定期解除前股票的CAR较低，，IPO锁定期解除后股票的CAR较高。（4）IPO锁定期解除前的增持行为会使个股股价在事件日前后剧烈波动。（5）相比于IPO锁定期解除事件，原始股东在IPO锁定期解除后的减持行为会给个股股价带来更大更久的负面影响。
[Abstract]:In this paper, the internal mechanism and external performance of IPO lockout on Chinese A-share market are discussed from the theoretical and empirical perspectives, and some policy suggestions are put forward based on the problems found in the research. In the theoretical part of the study, this paper divides the investors before and after the release of IPO lockout into three types: shareholders, long-term investors and short-term investors. By analyzing the behavior patterns (preferences) of various investors to determine their utility functions, a static game model with complete information and a dynamic game model with incomplete information are constructed. This paper analyzes the investment strategies of three types of investors which satisfy the principle of utility maximization under various assumptions. In the empirical part of the study, this paper first regression analysis of the impact of IPO lockout on China A-share index, and then through the event research method to analyze the stock price changes of original shareholders before and after the release of IPO lockout and IPO lockout. Then we compare the difference of the stock price before and after the IPO lock release, and finally compare the difference between the original shareholder reduction and the stock price after the IPO lock release and the IPO lock release. In the part of policy suggestion, this paper elaborates separately from the angles of prolonging the locking period, strengthening information disclosure, increasing the restriction of reducing holdings, adjusting the financing structure, encouraging mergers and acquisitions, and so on. The main conclusions of this paper are as follows: the number of stocks whose lock-up period is less than 3 years and the market value are the important reasons of stock index fluctuation. The impact is mainly before the release of the lock period. (3) lifting the ban on market value. The stock valuation and the number of shareholders before and after the release of the lockout period are negatively correlated with the cumulative abnormal return of the stock. The controlling shareholder has higher CARs after the release of IPO lock; When the proportion of shares released to the total share capital of the company is high, the car of stocks before the IPO lockout is lower and the car of the stock after the release of the IPO lock is higher. The behavior of increasing the holdings before the release of the IPO lock will cause the stock price to increase before the event day. Compared with the IPO lockout event, The initial shareholder's reduction after the IPO lockout will have a bigger and longer negative impact on the stock price.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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