我国创业板市场IPO抑价“月份效应”和“季度效应”的实证分析

发布时间：2018-02-27 19:39

本文关键词： IPO抑价日历效应创业板月份效应季度效应　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：创业板是培养具备优秀发展前景的中小型企业的摇篮,是建设我国多层级资本市场体系的重要组成部分,它的健康运行不仅有利于以高新技术产业为主的创新型企业的发展,更是我国自主创新国家发展战略的重要保证。中国创业板市场成立时间较短,发展还不够成熟,许多学者研究发现中国创业板市场存在严重的市场非有效现象,其中,最受学者们广泛讨论和关注的要属创业板市场中的IPO抑价问题和日历效应现象。目前,针对IPO抑价和日历效应的研究基本都是分别开展,国内仅有少数学者将存在于中国股票市场的这两种现象联系起来,从星期效应角度对IPO抑价问题进行过研究。本文在已有研究的基础上,使用中国创业板市场最新IPO数据,尝试研究中国创业板市场中IPO抑价和日历效应(月份效应、季度效应)间存在的关系。本文在联系相关理论和现实状况的基础上,综合运用比较分析法、规范与实证分析结合法,首先,阐述IPO抑价和日历效应的国内外研究现状;然后,通过详细介绍中国创业板特点和现状,构建本文研究的现实基础,提出初步猜想;之后,介绍国内外已有相关理论,为猜想找到理论支撑,建立基本假说;最后,采用中国创业板市场最新IPO数据,运用统计和计量的方法,验证本文的猜想和假说,分析实证结果,总结结论,提出建议。本文的创新点有三处:(1)研究角度创新。目前,很少有学者从日历效应,特别是月份效应和季度效应角度入手,针对中国股票市场的IPO抑价问题展开研究。本文以之前学者的研究为基础,综合运用IPO抑价和日历效应的现有理论,结合中国创业板现状,尝试从"月份效应"和"季度效应"角度研究中国创业板市场的IPO抑价问题,有助于填补我国创业板研究领域的部分空白。(2)研究思路创新。本文基于中国创业板特点和现状,从"两会"和年报披露这两个最能在固定时段影响投资者行为的事件出发,提出IPO抑价存在日历效应的可能性。并运用已有研究和相关理论为猜想找到理论依据,提出基本假说,奠定实证研究的理论和现实基础,为之后从日历效应角度研究IPO抑价现象提供了一种参考。本文研究发现,中国创业板市场的IPO抑价表现出显著为负的四月效应和二季度效应,以及显著为正的七月效应和三季度效应,这种现象的出现可能与我国每年三月召开的"两会"和中国创业板独特的年报披露时限有关。
[Abstract]:The gem is the cradle of cultivating small and medium-sized enterprises with excellent development prospects and an important part of the construction of our country's multi-level capital market system. Its healthy operation is not only conducive to the development of innovative enterprises with high and new technology industry as the main body. It is also an important guarantee of the national development strategy of independent innovation in China. The gem market in China is short in time and immature in development. Many scholars have found that there is a serious market inefficiency phenomenon in the gem market in China. The problems of IPO underpricing and calendar effect in the gem market are the most widely discussed and concerned by scholars. At present, the research on IPO underpricing and calendar effect is basically carried out separately. Only a few domestic scholars have linked these two phenomena in China's stock market and studied the underpricing problem of IPO from the point of view of week effect. Based on the existing research, this paper uses the latest IPO data in China's gem market. This paper tries to study the relationship between IPO underpricing and calendar effect (month effect, quarterly effect) in Chinese gem market. Combining normative and empirical analysis, first of all, describes the domestic and foreign research status of IPO underpricing and calendar effect; then, through a detailed introduction of the characteristics and current situation of China's gem, constructs the realistic basis of this study, puts forward a preliminary guess. This paper introduces the relevant theories at home and abroad, finds theoretical support for conjecture and establishes basic hypothesis. Finally, using the latest IPO data of China's gem market, using statistical and econometric methods, verifies the conjecture and hypothesis in this paper, and analyzes the empirical results. At present, few scholars begin with calendar effect, especially month effect and quarterly effect. On the basis of the previous research, this paper synthetically applies the existing theories of IPO underpricing and calendar effect, and combines the current situation of China's gem with the research of IPO underpricing in Chinese stock market. This paper attempts to study the issue of IPO underpricing in China's gem market from the perspectives of "month effect" and "Quarterly effect", which will help to fill up some gaps in the research field of China's gem. Based on the fact that the two sessions and the annual report are the two events that can affect investors' behavior in a fixed period, the possibility of calendaring effect in IPO underpricing is put forward, and the theoretical basis for the conjecture is found by using the existing research and relevant theories. Put forward the basic hypothesis, lay the theoretical and practical foundation of empirical research, and provide a reference for the study of IPO underpricing from the perspective of calendar effect. The IPO underpricing in China's gem market shows a significant negative effect of April and a second quarter effect, as well as a significant positive effect of July and a third quarter effect. The emergence of this phenomenon may be related to the time limit of the two sessions held in March and the unique annual report disclosure time of the gem.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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