中国证券市场新股首月回报波动性分析

发布时间：2018-01-01 10:32

本文关键词：中国证券市场新股首月回报波动性分析　出处：《吉林大学》2014年硕士论文　论文类型：学位论文

【摘要】：我们认为，新股发行首日回报（IPO抑价率）并不能真正反映IPO的定价效率。为控制新股发行高抑价现象，上海证券交易所和深圳证券交易所都出台了不同的停盘规则，当盘中成交价较当日开盘价差距过大，或盘中换手率较大时，均会采取相应的停盘规则。新规定虽有效抑制了IPO抑价和破发现象，但这使得首日股票价格的变动对于IPO定价效率的解释程度有所降低。因此，我们在传统的研究定价效率方法的基础上提出了一种评价IPO定价效率的新方法：新股首月回报波动性分析法。这种分析方法不但能够有效规避部门政策在首日回报对于IPO定价效率替代性方面的影响，，还可以更全面地反应上市新股的初始回报状况。本文对新股的前21个交易日收盘价的数据进行着重研究。首先对新股收益率波动的均值及标准差进行统计分析。然后通过面板数据考察新股首月回报均值与波动之间的相关关系，进而运用EGARCH模型考察时间序列变化对IPO初始回报及其分布的影响。此外，文章还将进一步讨论其他可能影响IPO初始回报波动的因素。最后，我们用有限的样本来比较询价制定价与拍卖制定价在定价效率上的差别。
[Abstract]:We believe that the IPO underpricing rate on the first day of new stock issuance) can not really reflect the pricing efficiency of IPO, in order to control the phenomenon of high underpricing of new stock issuance. The Shanghai Stock Exchange and the Shenzhen Stock Exchange have issued different stoppage rules when the intraday trading price is too different from the opening price of the day or when the intraday turnover rate is larger. The new regulation can effectively restrain the IPO underpricing and break, but it makes the first day stock price change to the IPO pricing efficiency explanation degree has reduced. Based on the traditional pricing efficiency method, we propose a new method to evaluate the pricing efficiency of IPO. This method can not only effectively avoid the impact of departmental policy on the substitution of IPO pricing efficiency in the first day return. It can also more fully reflect the initial return of listed new shares. This paper focuses on the data of the closing price of the first 21 trading days of the new shares. Firstly, it makes a statistical analysis of the mean and standard deviation of the volatility of the return rate of new shares. Then, through panel data, the mean and the average return of the first month of the new shares are investigated. The correlation between fluctuations. Then we use the EGARCH model to investigate the effect of time series changes on the initial return and its distribution of IPO. In addition, we will further discuss other factors that may affect the volatility of IPO initial return. Finally. We use a limited sample to compare the pricing efficiency between an inquiry and an auction.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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