我国中小板、创业板新股抑价的研究

发布时间：2018-07-03 19:55

本文选题：新股抑价 + 影响因素分析　；参考：《华东师范大学》2013年硕士论文

【摘要】：新股抑价发行是全球股票市场普遍存在的现象,国外学者对此进行了大量研究,并提出了多种理论和假说。我国证券市场自建立起,也一直存在着较高的新股发行抑价率,过高的抑价率不仅妨碍了资本市场对资源进行优化配置的功能,还引起巨额资金无序流动、过度投机等现实问题。针对上述问题,我国证券监管部门近些年先后多次推出新股发行制度改革,旨在提高资本市场效率控制抑价水平,但目前这一改革在向前推进过程中饱受各方争议。为此,本文期望就上述难题做一些有益的探索,在总结和回顾国内外已有研究文献基础上之,本文紧密联系了中国A股市场的实际,对我国2009年以来深圳证券交易所的中小板、创业板市场IPO抑价的原因和影响因素进行研究探索,然后通过实证检验来评判新股发行制度改革取得的成果与存在的不足,进而提出进一步改革的建议,具有很强的现实指导意义。本文共分为如下五章：第一章是引言部分,给出了本文的研究背景、文献综述、论文结构安排和研究思路,使得读者对全文有一个总体的认识,同时还介绍了本文的创新之处；第二章是相关的理论介绍,分别从传统金融理论和行为金融理论对IPO抑价的研究进行了系统的梳理展示,为后文建立分析模型提供理论依据,之后对已有的文献进行了简要的评述；第三章选取从2009年7月至2012年9月深圳证券交易所中小板、创业板市场上的769家IPO公司为样本,运用Eviews软件,在传统的IPO抑价影响因素的研究成果上建立多元线性回归模型,分别对历次新股发行制度改革分三个阶段的数据进行了实证分析,再利用贝叶斯模型平均方法对多元线性回归模型的各个解释变量分阶段做检验；第四章对各个阶段下IPO抑价程度、新股弱势现象做参数检验,评判新股发行制度改革取得的成果与不足；最后一章给出研究结论、提出建议,在总结全文的基础上,针对如何降低A股市场IPO抑价、提高证券市场运行效率提出相应的政策建议。
[Abstract]:IPO underpricing is a common phenomenon in the global stock market, which has been studied extensively by foreign scholars, and many theories and hypotheses have been put forward. Since the establishment of China's securities market, there has always been a relatively high underpricing rate of new stock issuance. The excessive underpricing rate not only hinders the function of the capital market in optimizing the allocation of resources, but also causes a huge amount of capital to flow out of order. Excessive speculation and other practical problems. In order to improve the efficiency of the capital market to control the underpricing level, China's securities regulatory authorities have introduced a number of reforms in recent years to control the underpricing level. However, the reform has been subject to controversy in the process of advancing. Therefore, this paper expects to do some useful exploration on the above problems. On the basis of summarizing and reviewing the existing research literature at home and abroad, this paper closely links with the reality of China's A-share market, and gives a close account of the small and medium-sized board of Shenzhen Stock Exchange since 2009. The reasons and influencing factors of IPO underpricing in gem market are studied and explored, and then the achievements and shortcomings of the reform of IPO system are judged by empirical test, and further suggestions for further reform are put forward. Has the very strong realistic instruction significance. This paper is divided into five chapters: the first chapter is the introduction part, gives the research background, the literature review, the thesis structure arrangement and the research thought, causes the reader to have a general understanding to the full text, at the same time has introduced this article innovation; The second chapter is the related theoretical introduction, respectively from the traditional financial theory and behavioral finance theory of IPO underpricing research on a systematic display, for the subsequent establishment of the analysis model to provide a theoretical basis. The third chapter selects 769 IPO companies in Shenzhen Stock Exchange from July 2009 to September 2012, and uses Eviews software as a sample. Based on the traditional research results of the factors influencing IPO underpricing, this paper establishes a multivariate linear regression model, and makes an empirical analysis on the data of three stages of the previous IPOs system reform. Then the Bayesian model average method is used to test the various explanatory variables of multivariate linear regression model in stages. Chapter four makes a parameter test on IPO underpricing degree and IPO weakness phenomenon in each stage. The last chapter gives the research conclusion, puts forward the suggestion, on the basis of summing up the full text, aiming at how to reduce the IPO underpricing in A-share market. To improve the efficiency of the securities market to put forward the corresponding policy recommendations.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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