新股上市首日临时停牌制度对三种首日交易风险的影响研究

发布时间：2018-01-19 13:15

本文关键词： 新股发行临时停牌制度交易风险　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国A股市场素有“打新股”的投资习惯。得益于新股上市首日的高涨幅、高换手率,参与发行认购的投资者总能在首日的炒作氛围中获得可观的收益。相反,在首日买入的投资者却往往被长期套牢。为了保护中小投资者利益、抑制二级市场对新股的炒作,我国深交所早在2006年就推出“新股上市首日临时停牌制度”,以临时停牌措施对新股首日涨跌幅、换手率等交易指标进行限制。2012年3月,深交所和上交所分别推出临停制度加强版,对交易指标和停牌时间都进行了严格的规定。此次制度变化使得该制度首次获得市场的高度关注。深交所在文件中,将该制度的政策目标阐述为防范新股上市“首日交易风险”。基于上述背景,本文试图对“首日交易风险”进行定义和细化,研究在新股上市首日进行交易的投资者都承担了什么样的交易风险。同时,本文试图研究2012年3月版本的临停制度,对首日交易风险有何种影响、是否达到预定的政策目标。本文将新股“首日交易风险””划分为“量大”风险、“价高”风险和“连锁效应”,分别代表新股上市首日的高换手率、高涨幅以及首日涨幅的滞后影响。然后,本文使用我国A股在2010年初至2012年11月(IPO暂停之前)间上市的786支新股作为样本,验证三种风险的存在性。此外,根据加强版临停制度实施时间,本文将全部样本划分为三组,使用事件研究法探究临停制度对“量大”风险和“价高”风险的影响。最后,本文使用带有GARCH模型修正的自回归模型刻画“连锁效应”,并引入虚拟变量探究临停制度对“连锁效应”的影响。本文研究结果表明,三种“首日交易风险”都存在,而首日临停制度对三种风险都没有起到理想的抑制作用。反而在一些情况下,三种风险在加强版临停制度实施之后都更加严重。本文对这种现象的产生原因进行了猜想,并给出政策建议与研究展望。
[Abstract]:China's A-share market has the habit of "playing new shares". Thanks to the high increase in the first day of new shares listing, high turnover rate, investors who participate in the issuance and subscription can always get considerable profits in the first day of speculation. On the contrary. In order to protect the interests of small and medium-sized investors, the secondary market to curb the speculation of new shares. As early as 2006, the Shenzhen Stock Exchange of China introduced the "temporary suspension system of new shares on the first day of listing", with temporary suspension measures to limit the trading indicators such as the rise and fall of new shares on the first day, the turnover rate, and so on. March 2012. The Shenzhen Stock Exchange and the Shanghai Stock Exchange have introduced an enhanced version of the temporary suspension system, which imposes strict rules on trading targets and suspension times. The change in the system has made the system highly visible for the first time in the market, the Shenzhen Stock Exchange said in a document. Based on the above background, this paper attempts to define and refine the "first-day trading risk". At the same time, this paper tries to study the March 2012 version of the temporary suspension system, what impact on the first day of trading risk. This paper classifies the "first-day trading risk" of new shares into "large volume" risk, "high price" risk and "chain effect", respectively, representing the high turnover rate of the first day of IPO. Then, this paper uses 786 new shares listed between early 2010 and November 2012, which were listed between early 2010 and November 2012. To verify the existence of the three risks. In addition, according to the implementation time of the enhanced temporary suspension system, all samples are divided into three groups. This paper uses the event study method to explore the impact of the temporary stop system on the risk of "large quantity" and "high price". Finally, this paper uses the autoregressive model with the modified GARCH model to describe the "linkage effect". And the virtual variables are introduced to explore the impact of the temporary stop system on the "chain effect". The results of this study show that all three "first-day trading risks" exist. On the other hand, the first day suspension system does not play an ideal role in restraining the three kinds of risks. On the contrary, in some cases. The three kinds of risks are more serious after the implementation of the system. This paper gives some suggestions and research prospects on the causes of this phenomenon.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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