我国A股现行IPO体制下热销现象的存在性研究

发布时间：2018-03-24 07:09

本文选题：IPO　切入点：热销现象　出处：《山西财经大学》2017年硕士论文

【摘要】：近年来,首次公开募股(IPO)作为一种重要的融资方式越来越成为学术界研究的热点。部分学者经过研究认为IPO过程中存在三大谜团,热销现象作为其中之一,引发了金融界的广泛关注。中国的A股IPO市场尚处于摸索期,各方面理论还不健全,特殊的IPO体制使得其他国家关于IPO的研究经验和成果只能当作参考,到目前为止,关于我国当前体制下是否存在这种热销市场现象的研究并不多,而且没有形成统一的定论和系统的解释。因此对我国A股IPO中的热销现象是否存在展开研究具有充分的理论意义和现实意义。理论方面,本文首先从对A股发行数量的波动性、抑价率理论的解释入手,随后对两者之间的传导机制展开理论分析;实证检验方面,本文选取2006年6月到2016年12月十年期间首次上市的A股展开研究,并依据IPO暂停时间将样本划分为四个时间段,采用ADF、ARMA、ADL、白噪声检验和自相关偏自相关图分析等计量方法,对每个时间段分别进行统计检验。结果表明:我国A股市场上新股存在很严重的抑价发行现象,新股的发行数量存在波动性,但是并不是由抑价率引起,而是由自身的周期性引起,也就是说,我国现行IPO体制下并不存在所谓的热销现象。最后,针对以上结论,本文提出了一些政策建议。本文的创新之处有以下几点:第一,以2006年新证券法实施这件标志性事件作为样本起点,选取了2006年6月开始到2016年12月这十年间的1707支首次公开募股的A股作为研究对象,时间跨度较大;第二,以三次暂停作为划分点,将样本分为四个阶段,分别对各个时间段的热销现象进行研究,且在实证检验中,利用了多种计量学方法,确保了计量过程的准确性。
[Abstract]:In recent years, IPO (initial public offering), as an important financing method, has become a hot topic in academic research. Some scholars believe that there are three puzzles in the process of IPO, among which the phenomenon of hot selling is one of them. The A-share IPO market in China is still in a groping stage, and all aspects of the theory are still not perfect. The special IPO system makes the research experience and achievements of other countries on IPO only serve as a reference, so far, There are few studies on whether there is such a hot market phenomenon under the current system of our country. And there is no unified conclusion and systematic explanation. Therefore, it has sufficient theoretical and practical significance to study the existence of hot selling phenomenon in A-share IPO in China. Starting with the explanation of underpricing theory, this paper starts with the theoretical analysis of the conduction mechanism between the two. In the aspect of empirical test, this paper selects A-shares which are listed for the first time from June 2006 to December 2016 to carry out the research. According to the pause time of IPO, the sample is divided into four time periods, and the measurement methods such as ADF / ARMA-ADL, white noise test and autocorrelation partial autocorrelation graph analysis are used. The results show that there is a serious underpricing phenomenon in China's A-share market, and the number of new shares issued is volatile, but not caused by underpricing rate. It is caused by its own periodicity, that is to say, there is no so-called hot selling phenomenon under the current IPO system in China. Finally, in view of the above conclusions, this paper puts forward some policy suggestions. The innovations of this paper are as follows: first, With the implementation of the new securities law in 2006 as a sample starting point, 1707 A-shares of initial public offerings from June 2006 to December 2016 are selected as the research objects. The time span is large; second, Taking three suspensions as the dividing point, the sample is divided into four stages, and the hot selling phenomenon in each time period is studied respectively. In the empirical test, various metrology methods are used to ensure the accuracy of the measurement process.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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