我国IPO抑价机制探究

发布时间：2018-01-15 07:12

本文关键词：我国IPO抑价机制探究　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：IPO抑价是指新股发行后,一定时期内股票的市场价格高于发行价格的现象。IPO的抑价现象广泛的存在于中外股票市场上,而过度的IPO抑价会导致股票市场上资源的错配,进而降低股票市场的效率,削弱股票市场资源配置的作用。针对IPO抑价,学界一直致力于探究其产生的机制,并试图能够通过制度的完善去减弱甚至消除IPO抑价现象。行为金融学是近年来学界产生的一个新的研究方向,相比较发达国际市场,我国股票市场上的投资者更加不理性,本文章即将从行为金融学角度去探究我国IPO抑价的内在机制。本文章介绍了 IPO抑价现象的背景,阐述了国内外历来对IPO抑价现象的研究成果,并探讨了写作的目的以及意义。在陈述IPO抑价理论的同时,本文结合我国股票一级市场发展的历史,通过对投资者不理性心理的分析,提出投资者的心理产生的噪声交易是推高我国IPO抑价程度的因素。本文获取了 2014年7月1日至2015年6月30日之间新上市的250个股票,并选取了能够反映投资者心理和关注程度的11个指标,通过建立多元线性回归模型进行实证分析。实证结果表明,我国股票市场上IPO抑价的程度受网发中签率、发行价格、新股市盈率与同行业市盈率之比、发行日至首次打破涨停日大盘的变动幅度以及投资者关注度的增长这五方面因素的影响,证明了投资者的心理和对新股的高关注是导致我国IPO抑价过高的重要因素。我国IPO的过高抑价程度毕竟不利于我国资本市场的健康发展,我们应当从投资者、发行人、监管制度三方面去消除这个现象。
[Abstract]:IPO underpricing refers to the phenomenon that the market price of the stock is higher than the issuing price in a certain period after the issue of new shares. The underpricing phenomenon of IPO widely exists in the stock market both at home and abroad. Excessive IPO underpricing will lead to the mismatch of resources in the stock market, thereby reducing the efficiency of the stock market and weakening the role of resource allocation in the stock market. Academic circles have been devoted to explore its mechanism and try to improve the system to weaken or even eliminate the phenomenon of IPO underpricing. Behavioral finance is a new research direction in recent years. Compared with the developed international market, the investors in China's stock market are more irrational. This article will explore the internal mechanism of IPO underpricing in China from the perspective of behavioral finance. This article introduces the background of IPO underpricing phenomenon and describes the domestic and foreign research results of IPO underpricing phenomenon. This paper also discusses the purpose and significance of the writing. While stating the IPO underpricing theory, this paper analyzes the irrational psychology of investors in the light of the history of the development of the stock market in China. It is pointed out that the noise trading caused by investors' psychology is the factor that pushes up the degree of IPO underpricing in China. This paper obtains 250 newly listed stocks from July 1st 2014 to June 30th 2015. And select 11 indicators which can reflect investor psychology and degree of concern, through the establishment of multiple linear regression model for empirical analysis. The empirical results show that. The degree of IPO underpricing in the stock market of our country is determined by the ratio of net issuing rate, issuing price, new stock price-earnings ratio and the price-earnings ratio of the same industry. From the date of issue to the first time breaking the fluctuation of the market on the day of trading and the growth of investors' attention these five factors influence. It proves that the psychology of investors and the high attention to new shares are the important factors leading to the excessive underpricing of IPO in China. After all, the excessive underpricing of IPO is not conducive to the healthy development of China's capital market. We should eliminate this phenomenon from investors, issuers and regulatory systems.
【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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