二级市场的情绪会影响一级市场询价吗？

发布时间：2018-02-10 08:32

本文关键词： 询价机构主承销商投资者情绪　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文基于IPO询价过程中询价机构的报价数据,研究询价过程的两个参与主体——询价机构和主承销商是否受到二级市场投资者情绪的传染,从而推高新股发行价格。文章首先构建了我国股票市场投资者情绪的月度综合指标；然后以2010年11月1日以来WIND公布的询价机构报价数据为研究样本,构建了询价机构对每只新股报价的加权平均数(算术平均、中位数)和偏度系数。以此来研究询价机构的报价行为和主承销商的定价行为是否受到情绪的影响。文章对询价机构的实证研究表明询价机构对于新股的报价普遍偏高,这可能是由于我国询价机制本质上是荷兰式竞标制度。而且报价偏高的程度以及报价的分歧度均显著受到了投资者情绪的影响,表明了处于一级市场的询价机构显著受到了来自二级市场情绪的影响。文章接下来针对投资者情绪与承销商定价之间的关系进行了实证检验,并加入了保荐代表人的特征作为控制变量。实证结果显示,主承销商对新股的定价要显著高于询价机构的报价,且与投资者情绪显著正相关。总而言之,本文的研究表明：投资者情绪会传染至一级市场,对IPO询价主体产生显著影响。作为参与新股询价的两个主体——询价机构和主承销商对于新股高定价均起到了推波助澜的作用。本文的主要创新之处在于：第一,对询价机构的报价数据进行了系统的分析,采用询价机构报价数据的密度分布的偏度系数来衡量询价机构报价的理性程度,并研究了投资者情绪对该偏度系数的影响；第二,在分析了询价机构报价受到投资者情绪影响的基础上,进一步研究了主承销商在询价机构报价的基础上抬高新股发行价格的行为;此外,作为补充研究,加入了保荐代表人的特征作为控制变量,发现了保荐代表人在IPO定价过程中职能缺失的现状。
[Abstract]:Based on the quotation data of the inquiry agencies in the process of IPO inquiry, this paper studies whether the two participants in the inquiry process-the inquiry institutions and the lead underwriters-are infected by the investor sentiment in the secondary market. This paper first constructs the monthly comprehensive index of investor sentiment in China's stock market, and then takes the inquiry agency quotation data published by WIND since November 1st 2010 as the research sample. The weighted average (arithmetic average, median) and skewness coefficient of the quotation of each new stock by the inquiry agency are constructed to study whether the quotation behavior of the inquiry agency and the pricing behavior of the lead underwriter are affected by emotion. The empirical study of inquiry institutions shows that the quotation of new shares by inquiry agencies is generally on the high side. This may be due to the fact that the inquiry mechanism in China is essentially a Dutch bidding system. Moreover, the degree of high quotation and the degree of divergence are significantly affected by investor sentiment. The results show that the inquiry institutions in the primary market are significantly affected by the secondary market sentiment. Then the paper makes an empirical study on the relationship between investor sentiment and underwriter pricing. The empirical results show that the pricing of new shares by lead underwriters is significantly higher than that of inquiry institutions and is positively correlated with investor sentiment. All in all, the research in this paper shows that investor sentiment can spread to the primary market. It has a significant influence on the main body of IPO inquiry. As the two main bodies involved in the new stock inquiry, the inquiry organization and the lead underwriter both play a role in promoting the high price of the new stock. The main innovations of this paper are as follows: first, the quotation data of inquiry agencies are systematically analyzed, and the bias coefficient of the density distribution of quotation data of inquiry agencies is used to measure the rational degree of quotation of inquiry agencies. The influence of investor sentiment on the bias coefficient is also studied. Secondly, on the basis of analyzing the influence of inquiry agency quotation on investor sentiment, The behavior of the lead underwriter in raising the price of new shares on the basis of the quotation of the inquiry agency is further studied. In addition, as a supplementary study, the characteristics of the sponsor representative are added as the control variable. Found the status quo of missing function of sponsor representative in IPO pricing process.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.51

【引证文献】