投资者情绪视角下的我国股市IPO抑价问题研究

发布时间：2018-01-24 17:07

本文关键词： IPO抑价投资者情绪指标构建　出处：《安徽财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：在我国股票市场发展的二十余年中,对于新股发行制度改革的探索一直没有间断,IPO抑价情况虽然随着新股发行市场化程度加强得到了部分降低,但投资者对新股的投机热并未得到根本性的缓解,高抑价的存在严重影响了市场的融资功能和资源配置效率。当前,我国IPO市场处在第八次暂停后即将开闸的关键时期,在此背景下,本文从投资者情绪角度出发,探讨我国IPO抑价问题的产生原因并根据研究结论提出相关政策建议,具有一定的理论和现实意义。文首先从IPO抑价现象的发现、基于一级市场和二级市场的IPO抑价理论及结合我国制度特点的IPO抑价分析这四个角度对关于首发市场抑价现象的研究进行文献回顾,发现随着各地证券市场首发高额收益率的持续出现,学者们关注的重点开始由一级市场转向二级市场；其次,通过归纳投资者情绪的不同测量方法,发现作为综合指标的投资者情绪指数能够更为全面得反映市场情况,同时,结合miller模型、DSSW模型、DHS模型分析投资者情绪对IPO抑价产生影响的作用机理；再次,结合我国IPO市场的特点,从一级市场和二级市场两个角度归纳了IPO高抑价的影响指标；最后,本文以2006年6月至2012年10月在A股市场的IPO股票为样本进行实证研究,在运用SPSS主成分分析法构建复合投资者情绪指标(ISCI)的基础上,引入发行规模及企业主要财务指标进行逐步回归分析,研究不同时期的投资者情绪对IPO抑价影响的变化。研究结果表明,我国新股抑价率长期处在较高水平且波动幅度较大；影响发行抑价的主要因素为各期复合投资者情绪指数、发行规模、市盈率、净资产收益率、每股净利润；提前一期、提前两期的复合投资者情绪指标ISCIt-1、ISCIt-2正相关,说明投资者情绪是我国股市IPO高抑价现象的重要原因且投资者情绪波动领先于市场反应。因此,为了IPO市场的进一步发展完善,我们仍需从加强投资者教育、完善信息披露、推行发行制度改革等几个方面做出持续努力。
[Abstract]:In the more than 20 years of the development of the stock market in our country, the exploration of the reform of the new issue system has been uninterrupted although the IPO underpricing has been reduced partly with the increase of the marketization of the new issue. However, the speculative enthusiasm of investors on new shares has not been fundamentally alleviated. The existence of high underpricing has seriously affected the financing function of the market and the efficiency of resource allocation. China's IPO market is in the critical period of opening after 8th pauses. Under this background, this paper starts from the perspective of investor sentiment. It is of theoretical and practical significance to probe into the causes of IPO underpricing in China and to put forward relevant policy suggestions according to the conclusions of the research. First of all, we find the phenomenon of IPO underpricing. Based on the IPO underpricing theory of primary market and secondary market and the analysis of IPO underpricing combined with the characteristics of China's system, the literature review of the underpricing phenomenon in the first-round market is carried out. It is found that with the continuous emergence of the initial high yield rate in the local securities markets, the focus of scholars' attention has begun to shift from the primary market to the secondary market; Secondly, through the induction of different measurement methods of investor sentiment, it is found that investor sentiment index, as a comprehensive index, can more comprehensively reflect the market situation, at the same time, combined with the miller model. The DSSW model and the DHS model are used to analyze the effect of investor sentiment on IPO underpricing. Thirdly, according to the characteristics of IPO market in our country, the influence index of high underpricing of IPO is concluded from two aspects of primary market and secondary market. Finally, this paper takes the IPO stock in A share market from June 2006 to October 2012 as the sample to carry on the empirical research. On the basis of using SPSS principal component analysis method to construct complex investor sentiment index (ISCI), this paper introduces the issuing scale and the main financial index of enterprises to carry on stepwise regression analysis. To study the effect of investor sentiment on IPO underpricing in different periods. The results show that the underpricing rate of new shares in China is in a high level for a long time and fluctuates greatly. The main factors affecting the underpricing are the composite investor sentiment index, the size of the issue, the price-earnings ratio, the rate of return on net assets and the net profit per share. ISCIt-1 / ISCIt-2, a composite investor sentiment index in one and two phases, was positively correlated. It shows that investor sentiment is an important reason for the high IPO underpricing phenomenon in China's stock market and the fluctuation of investor sentiment is ahead of the market response. Therefore, for the further development of the IPO market, it is necessary to perfect it. We still need to make continuous efforts in several aspects, such as strengthening investor education, perfecting information disclosure and carrying out the reform of issuing system.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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