新股发行周期波动的Markov三区制转换模型研究

发布时间：2018-05-26 23:10

本文选题：Markov区制转换模型 + IPO市场周期　；参考：《统计研究》2013年05期

【摘要】：本文将传统的IPO周期市场"热销"和"冷发"两种状态拓展为"热销"、"冷发"和"过渡"三种状态,并结合稳健性考虑和我国IPO市场实际对测度IPO周期的变量进行了改进,构造了一套新的包含IPO数量、抑价、市场条件、政府调控四类代理变量的指标体系,然后将变量分别应用三区制Markov区制转换模型进行回归并通过滤波迭代法得到滤波概率和平滑概率,继而得出每组变量对应的IPO周期,最后通过综合对比获得了我国A股市场1994年1月至2012年6月的IPO周期划分结果。结果显示我国IPO发行周期波动存在"热销"、"冷发"和"过渡"三种状态,并刻画了IPO周期与IPO数量、抑价、市场条件、政府调控之间的关系,研究丰富了IPO周期理论,并有助于IPO发行的有效决策。
[Abstract]:In this paper, the traditional IPO cycle market "hot selling" and "cold hair" are extended to three states: "hot sale", "cold hair" and "transition", and the variables used to measure IPO cycle are improved in combination with the consideration of robustness and the actual situation of our country's IPO market. A new set of indicators including IPO quantity, underpricing, market conditions, government regulation and control of four kinds of agency variables is constructed. Then the variables are regressed by using the three-zone Markov block transformation model, and the filtering probability and smoothing probability are obtained by filtering iteration method, and then the corresponding IPO period of each group of variables is obtained. Finally, the results of IPO cycle division from January 1994 to June 2012 are obtained by comprehensive comparison. The results show that there are "hot sales", "cold hair" and "transition" in the fluctuation of IPO issue cycle in China. The relationship between IPO cycle and IPO quantity, underpricing, market conditions, government regulation and control is described. The study enriches the theory of IPO cycle. It also contributes to the effective decision of IPO release.
【作者单位】：武汉大学经济与管理学院金融系;武汉大学经济与管理学院;
【基金】：国家自然科学基金面上项目“基于美式期权原理的新股上市时机与IPO浪潮机理研究”(No.71071121)资助教育部哲学社会科学研究重大课题攻关项目“欧美国家债务危机对我国的影响及对策研究”(No.12JZD029)资助武汉大学人文社科自主创新重点项目“基于美式期权原理的最优市场时机与IPO集群效应研究”(No.09ZZKY003) “中央高校基本科研业务费专项资金”的资助
【分类号】：F832.51;F224

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