我国内地创业板市场IPO定价效率研究

发布时间：2018-07-01 07:54

本文选题：创业板市场 + 定价效率　；参考：《广东工业大学》2012年硕士论文

【摘要】：我国内地创业板市场在经历了十年的酝酿之后,于2009年十月在深圳证券交易所开板,它的开板对完善我国资本市场、促进新兴产业发展意义十分重大。但随着我国创业板上市公司数量的不断增加,我国内地创业板市场突显了定价效率偏低的问题。为解决我国内地创业板市场存在的定价效率偏低的问题,促进我国内地创业板市场的健康发展,本文首先对国内外有关IPO定价效率的研究状况进行综述和评价；然后对我国内地创业板市场进行分析；在结合我国内地创业板市场特点以及国内外学者的研究状况的基础上,提出从发行价与公司内部财务因素之间关系以及IPO抑价影响因素两个方面来分析我国创业板IPO定价效率。并以2009年10月30日至2012年4月30日之间,在我国内地创业板上市的311家公司为样本,采用实证研究的方法,通过建立多元线性回归模型,对影响我国内地创业板市场定价效率的因素进行实证检验。以期通过实证检验找到我国内地创业板市场定价效率偏低的原因。本文的实证检验结果表明,新股的发行价格与反映公司内在价值的财务指标不存在显著相关关系。IPO抑价率是反映定价效率的重要指标,本文通过对我国创业板市场IPO抑价影响因素的实证分析发现：首日换手率、发行市盈率、中签率、反映公司盈利能力的主成分变量、反映公司发展能力的主成分变量以及上市首日上证综指的涨幅是影响我国创业板市场IPO抑价的重要因素。在对我国创业板市场IPO抑价的研究基础上,本文认为造成目前我国创业板市场IPO定价效率偏低的原因是我国创业板市场投资者尚不成熟的投资理念、我国创业板市场股票供不应求的市场状况以及尚不完善的新股发行制度。在通过实证检验找到影响我国内地创业板市场定价效率偏低的原因后,本文提出了相应的对策和建议。
[Abstract]:After ten years of gestation, the gem in the mainland of China opened in Shenzhen Stock Exchange in October 2009. It is of great significance to perfect the capital market and promote the development of new industries in China. However, with the increasing number of listed companies in the gem, the mainland gem market highlights the problem of low pricing efficiency. In order to solve the problem of low pricing efficiency and promote the healthy development of China's mainland gem market, this paper firstly summarizes and evaluates the research status of IPO pricing efficiency at home and abroad. Then it analyzes the gem market in the mainland of China, and combines the characteristics of the gem market in the mainland of China and the research situation of domestic and foreign scholars. This paper puts forward to analyze the IPO pricing efficiency of gem in China from two aspects: the relationship between the IPO price and the internal financial factors of the company and the influencing factors of IPO underpricing. From October 30, 2009 to April 30, 2012, 311 companies listed on the gem in the mainland of China were selected as samples. The empirical research method was used to establish a multivariate linear regression model. This paper makes an empirical test on the factors influencing the pricing efficiency of China's mainland gem market. The purpose of this paper is to find out the reasons for the low pricing efficiency of China's mainland gem market. The empirical results of this paper show that there is no significant correlation between the IPO price and the financial index reflecting the intrinsic value of the company. IPO underpricing is an important indicator to reflect the pricing efficiency. Based on the empirical analysis of the influencing factors of IPO underpricing in China's gem market, this paper finds that: first day turnover ratio, issue price-earnings ratio, success ratio, which reflect the principal component variables of the company's profitability. The main component variable which reflects the development ability of the company and the increase of the Shanghai Composite Index on the first day of listing are the important factors that affect the IPO underpricing in China's gem market. On the basis of the research on IPO underpricing in China's gem market, this paper holds that the reason for the low IPO pricing efficiency in the gem market is the immature investment idea of the investors in the gem market. China's gem stock market is in short supply and the new issue system is not perfect. After finding out the reasons that affect the pricing efficiency of China's mainland gem, this paper puts forward the corresponding countermeasures and suggestions.
【学位授予单位】：广东工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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