基于行为金融学分析股票市场IPO抑价

发布时间：2018-01-24 17:09

本文关键词： 股市异常现象行为金融 IPO抑价率　出处：《兰州大学》2014年硕士论文　论文类型：学位论文

【摘要】：从1990年我国股票市场成立以来,IPO抑价现象在新股发行上普遍存在。基于行为金融学分析我国股票市场的IPO抑价,有利于更好地解释股票市场上的异常行为,帮助投资者作出正确的投资决策。本文通过综述行为金融学中与IPO抑价相关的基本理论,分析证券市场中出现的异常现象,将我国A股市场分为：深市A股、创业板和沪市A股三个部分,从信息是否对称、投资者行为是否合理、公司是否具有成长性以及市场冷热程度四个方面进行实证分析,研究行为金融学因素对我国股票市场IPO抑价率的影响程度。得出的结论是深市A股和沪市A股主要受投资者行为变量的影响,其中上市首日换手率对深市A股和沪市A股IPO抑价率的影响最大。创业板主要受市场热度变量的影响,新股上市首日市场回报率对创业板股票IPO抑价率的影响最大,可见,创业板市场的整体氛围影响了创业板股票的价格走势。创业板和主板虽然都受到投资者行为的影响,但其具体影响因素却又有不同。创业板在具有更高成长性的同时,面临更大的风险。基于上述结论,建议相关部门加强监管,推进市场制度不断完善。
[Abstract]:Since the establishment of China's stock market in 1990, IPO underpricing has been widespread in the new stock market. Based on behavioral finance, the IPO underpricing in Chinese stock market is analyzed. It is helpful to explain the abnormal behavior in the stock market and help investors to make the right investment decision. By summarizing the basic theories of behavioral finance related to IPO underpricing, this paper analyzes the abnormal phenomena in the securities market, and divides the A-share market into three parts: Shenzhen A-share, gem and Shanghai A-share. The empirical analysis is carried out from four aspects: whether the information is symmetrical, whether the investor's behavior is reasonable, whether the company has the growth and the market's heat and cold degree. To study the influence of behavioral finance factors on IPO underpricing rate in Chinese stock market. The conclusion is that Shenzhen A-share and Shanghai A-share are mainly influenced by investor behavior variables. Among them, the exchange rate on the first day of listing has the greatest influence on the IPO underpricing rate of Shanghai and Shenzhen A-shares, and the gem is mainly affected by the market heat variables. The market rate of return on the first day of IPO has the greatest influence on the IPO underpricing rate of gem stock. The overall atmosphere of the gem market has affected the price trend of the gem stock. Although the gem and the main board are affected by the behavior of investors. However, the specific influencing factors are different. The gem has higher growth and faces greater risks. Based on the above conclusions, it is suggested that relevant departments should strengthen supervision and promote the continuous improvement of market system.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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