询价制改革下机构报价行为的动态博弈研究

发布时间：2018-01-19 09:41

本文关键词： 询价制改革 IPO价格询价机构报价　出处：《武汉大学学报(哲学社会科学版)》2017年05期 　论文类型：期刊论文

【摘要】：根据询价制改革路径,建立动态博弈模型研究新股定价过程中询价机构的报价行为,通过分析博弈模型可能趋向的演化稳定状态,得出询价机构的报价稳定策略。在博弈模型结果基础上,引入询价制改革影响,实证研究四次改革的具体措施对机构报价稳定策略及新股抑价率的影响。结果表明,询价制改革起到了提高报价机构竞争程度的作用,因此能够使询价更充分,并降低新股抑价率。在询价制历次改革进程中,新股定价市场化程度与定价效率得到了提高。该研究结果为新股发行制度的向注册制改革提供了理论参考。
[Abstract]:According to the reform path of the inquiry system, the dynamic game model is established to study the quotation behavior of the inquiry institutions in the process of new stock pricing. Through the analysis of the evolutionary stability of the game model. Based on the result of game model, the influence of inquiry system reform is introduced. Empirical study of the specific measures of the four reforms on the institutional price stability strategy and the underpricing rate of new shares. The results show that the inquiry system reform has played a role in improving the competitive level of quotation institutions, so it can make the inquiry more fully. The degree of marketization and the efficiency of new stock pricing have been improved in the past reform of the inquiry system. The research results provide a theoretical reference for the reform of the registration system of the new issue system.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家自然科学基金面上项目(71471142) 教育部哲学社会科学研究重大课题攻关项目(12JZD029)
【分类号】：F832.51
【正文快照】： 一、引言自我国股票市场成立后,新股发行制度经历了数次改革,新股价格形成机制也在逐渐改进和完善。但目前我国股票市场仍处于发展阶段,其完备程度比起欧美发达国家成熟股票市场还有所欠缺,往往被认为IPO定价效率不高,IPO价格形成机制也时常被诟病。为了完善新股发行制度,提

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