中国创业板市场IPO锁定期解除效应的实证分析

发布时间：2018-04-23 19:16

本文选题：IPO锁定期 + 价量效应　；参考：《辽宁大学》2014年硕士论文

【摘要】：IPO锁定期是在股票首次公开发行并上市之后，针对特定的持股人设定的不允许其出售持有股份的期限。为股票设定IPO锁定期，目的在于限制原有股东借上市溢价之际任意出售，避免首次公开发行并上市的新股对于二级市场施加过度的供给冲击，维护市场的稳定，对于规范公司上市筹资的目的和保护中小投资者的公平权益有着重要的意义。2012年10月30日开始，中国创业板市场的上市主体正不断历经IPO三十六个月锁定期的解除，在创业板这一具备上市主体经营稳定性相对弱、市盈率相对高、投机氛围更重等特点的市场上，控股股东和实际控制人等主要股东所持股份锁定期的解除，分析由此所引起成交价格和成交量方面的异动的特点及原因，能从侧面反映并及时的解决市场存在的弊病，使中国创业板市场更加健全更好的发挥资金融通作用。本文选定中国创业板市场IPO三十六个月锁定期解除这一事件作为研究对象，在确定样本数量和研究窗口期的基础上，收集数据并计算得出能代表价量效应的三个指标变量，分别为异常收益率AR、累计异常收益率CAR和异常交易量AV，观察其在研究窗口期内的变化情况，结果发现锁定期的解除引起了明显的负的异常收益和扩大的交易量。在此基础上，引用考虑了需求会随着由供给冲击引起的流动性增加而增加的股票价量模型，，将T-1日至T+3日的累计收益率作为被解释变量，引入扩容压力、解除锁定期时价格相对于发行价格的变化、上市公司规模、公司的经营业绩以及因供给冲击引起的流动改善作为解释变量，建立多元回归方程，研究累计收益率的影响因素和股票的需求弹性，发现扩容压力、公司的经营业绩和短期平均异常交易量这三个变量的对累计收益率的影响在经济和统计方面都较为显著，并由此回归分析得出在此次锁定期的解除事件的影响之下，创业板市场的需求价格弹性非常大。最后分析了价量受到锁定期解除影响而发生异常变化的原因，并针对不同的市场主体给出了解决市场中存在问题的政策建议。
[Abstract]:IPO lockout is a period for specific shareholders not to be allowed to sell their shares after an initial public offering. The purpose of setting the IPO lock period for the stock is to restrict the original shareholders from selling freely on the occasion of the listing premium, to avoid the excessive supply shock to the secondary market caused by the initial public offering and the listing of new shares, and to maintain the stability of the market. It is of great significance to standardize the purpose of corporate listing and to protect the fair rights and interests of small and medium-sized investors. Starting from October 30, 2012, the listed parties of the gem market in China are undergoing the release of the IPO 36 months lock-up period. On the gem, a market characterized by relatively weak operational stability, relatively high price-earnings ratio, and a more speculative atmosphere, the locking period of shares held by major shareholders, such as controlling shareholders and actual controllers, is lifted. The analysis of the characteristics and reasons of the transaction price and volume caused by this can reflect and solve the defects of the market in time, and make the gem market more sound and better play the role of fund financing. In this paper, we select the thirty-six month lock release of IPO in China growth Enterprise Market as the research object. On the basis of determining the sample size and the research window period, we collect the data and calculate the three index variables that can represent the effect of price quantity. They are abnormal rate of return, accumulative abnormal rate of return CAR and abnormal trading volume, respectively. The results show that the release of lock period leads to obvious negative abnormal return and enlarged trading volume. On this basis, taking into account the stock price model in which demand increases with the increase of liquidity caused by supply shocks, the cumulative rate of return from T-1 to T3 days is taken as the explained variable, and the expansion pressure is introduced. The variation of the price relative to the issue price, the scale of the listed company, the operating performance of the company and the improvement of the flow caused by the supply shock are taken as the explanatory variables to establish the multivariate regression equation. By studying the influence factors of cumulative return rate and demand elasticity of stock, it is found that the influence of expansion pressure, the company's operating performance and the short-term average abnormal trading volume on the cumulative return rate is more significant in the economic and statistical aspects. The regression analysis shows that the demand price elasticity of gem market is very large under the influence of the release of lock period. Finally, the paper analyzes the reasons for the abnormal change of the price quantity affected by the release of the locking period, and puts forward some policy suggestions to solve the problems existing in the market for different market subjects.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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