中国创业板市场IPO定价有效性研究

发布时间：2018-06-26 11:02

本文选题：创业板市场 + IPO　；参考：《暨南大学》2012年硕士论文

【摘要】：中国创业板市场在历经10年的筹备后，于2009年10月23日在深圳证券交易所正式开板。从此，创业板市场成为中国多层次资本市场不可或缺的一部分。但创业板市场大量股票呈现上市首日高抑价、上市后期破发严重的现象，价格波动较大。这种上市首日高抑价但后期大量破发问题的存在不利于中国创业板市场健康良好的发展，并最终影响资本市场的运行效率甚至整个国民经济的发展。因此，研究中国创业板市场IPO定价的有效性问题，对提高中小企业融资效率、改善中国资本市场运营环境具有十分重要的理论和实践意义。本文采用定性和定量两种方法来研究中国创业板市场IPO定价有效性问题。首先，通过对上市股票抑价和后期破发现象的定性分析来判断中国创业板市场IPO定价有效性。其次，采用定量分析法来检验IPO定价有效性，使用相对有效性标准法进行实证研究，以偿债能力、经营能力、盈利能力、发展能力以及资本规模结构来衡量IPO定价内部因素，以新股发行量、发行后总股本、市场波动率以及承销商声誉来衡量IPO定价外部因素。以上述内外部因素指标为自变量，分别与IPO发行价格、上市首日收盘价格进行逐步回归分析，从而对中国创业板市场IPO定价的有效性做出判断。研究结果表明，IPO发行价格与上市首日收盘价格均有效，同时IPO发行价格较上市首日收盘价拟合程度更高，这说明IPO定价具有一定的有效性，但高抑价率和破发现象表明IPO发行价格存在偏高的迹象，IPO定价有效性不高；另外，上市首日收盘价受市场波动率的影响较大，即股市上涨，则上市首日收盘价上涨，反之则下降，市场波动率对上市首日收盘价起到推波助澜的作用，，创业板二级市场存在浓厚的投机气氛。最后，在研究结论基础上对进一步提高中国创业板市场IPO定价有效性提出了相关政策建议。
[Abstract]:After 10 years of preparation, the Chinese gem has been formally opened on the Shenzhen stock exchange in October 23, 2009. Since then, the gem has become an indispensable part of the multi-level capital market in China. However, a large number of stocks in the GEM market have shown high underpricing on the first day of the market. The existence of high underpricing on the first day of the market but a large number of breakout problems in the later period is not conducive to the healthy development of the Chinese gem market, and ultimately affects the operation efficiency of the capital market and even the development of the whole national economy. Therefore, the study of the effectiveness of the IPO pricing in the Chinese gem market is to improve the financing efficiency of small and medium-sized enterprises and improve the Chinese capital. The operation environment of the market is of great theoretical and practical significance.
This paper uses two qualitative and quantitative methods to study the effectiveness of IPO pricing in the Chinese gem market. First, the pricing effectiveness of IPO in the Chinese gem market is judged by the qualitative analysis of the listed stock Underpricing and the late break phenomenon. Secondly, the quantitative analysis method is used to test the validity of the pricing of IPO, and the relative efficiency standard method is used. An empirical study is carried out to measure the internal factors of IPO pricing in terms of solvency, operating capacity, profitability, development capacity and capital scale structure. The external factors of IPO pricing are measured by the volume of new shares, the total equity after the issue, the volatility of the market and the reputation of the Underwriters. The above internal and external factors are independent variables and are issued with the IPO price respectively. Lattice, the closing price of the first day of listing is stepwise regression analysis, so as to judge the effectiveness of IPO pricing in China's growth enterprise market.
The results show that both the IPO issuance price and the closing price of the first day of the market are effective, while the IPO distribution price is more suitable than the closing price of the first day of the market. This shows that the pricing of IPO has a certain validity, but the high underpricing rate and breaking phenomenon indicate that the IPO issuance price has a high trace, and the price of IPO is less effective; in addition, the first day of the market is listed. The closing price is greatly influenced by the market volatility, that is, the rise of the stock market, the closing price of the first day of the market rises, and vice versa, the market volatility plays an important role in the closing price of the first day of the market, and there is a strong speculative atmosphere in the two level market of the gem. Finally, on the basis of the research conclusion, the IPO market of China's gem is further improved. The price effectiveness proposed the relevant policy recommendations.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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