我国主板、中小板以及创业板股票市场IPO抑价比较研究

发布时间：2018-04-04 09:42

本文选题：IPO　切入点：抑价　出处：《山东财经大学》2014年硕士论文

【摘要】：IPO抑价现象在证券市场上普遍存在，各国学者对这一现象进行了深入研究，部分学者认为是股票发行价过低导致IPO抑价率产生，另外部分学者认为是二级市场上的投资者情绪推高了IPO抑价率。我国证券市场形成较晚，无论在发行制度方面还是市场参与主体方面都还不健全，因此本文从发行市场和交易市场两个方面研究影响IPO抑价率的因素。本文首先通过独立样本t检验对我国三个市场的IPO抑价率大小进行了检验，结果表明2012年IPO新规出台前，主板市场IPO抑价率小于中小板市场和创业板市场，中小板市场和创业板市场IPO抑价率没有明显的差异；2012年IPO新规出台后，三个市场间IPO抑价率均不存在显著差异。然后对IPO抑价影响因素进行了研究。首先，从新股定价方面分别对主板市场、中小板市场以及创业板市场进行了实证检验，采用主成分因子分析法提取出主成分因子，，再进行回归分析。研究结果表明，在一级市场上发行价具有信息效率，能够反映出上市公司价值信息以及市场交易状况信息。其次，从二级市场投资者情绪入手，引入开盘价收益率的概念，实证结果表明，我国三个市场IPO抑价率的主要原因是开盘价收益率过高造成的，而投资者情绪通过影响集合竞价阶段的投资者行为显著影响着开盘价收益率的高低。本文分为六个部分。第一部分为绪论，分析了本文的研究意义、对相关文献进行了综述、指出本研究的创新以及不足之处。第二部分阐述了IPO抑价的理论基础。第三部分对我国主板、中小板以及创业板股票市场的发行制度进行了比较，阐明了从固定价格发行到市场定价发行的转变过程。第四部分对我国主板、中小板以及创业板市场的IPO抑价情况进行了比较，并对2012年IPO新规出台前后的IPO抑价率进行了对比分析。第五部分进一步研究了IPO抑价的一、二级市场影响因素，发现受投资者情绪影响显著的开盘价收益率是导致IPO抑价的主要因素，并从制度上对不同市场的影响因素做了对比。第六部分根据研究结论，久如何完善和提高我国三个股票市场IPO定价效率提出了相关政策建议。
[Abstract]:The phenomenon of IPO underpricing exists widely in the securities market. Scholars from all over the world have deeply studied this phenomenon. Some scholars believe that the underpricing of the stock market leads to the underpricing of IPO.In addition, some scholars believe that the investor sentiment in the secondary market pushed up the IPO underpricing rate.The securities market of our country is formed late and is not perfect either in the aspect of issuing system or in the main body of market participation. So this paper studies the factors influencing IPO underpricing rate from two aspects: the issue market and the trading market.In this paper, the size of IPO underpricing rate in three markets of China is tested by independent sample t-test. The results show that the IPO underpricing rate of main board market is smaller than that of small and medium-sized board market and growth enterprise board market before the IPO new regulation is introduced in 2012.There is no significant difference in IPO underpricing rate between small and medium-sized market and gem market, but there is no significant difference in IPO underpricing rate among the three markets after the new regulation of IPO in 2012.Then the influencing factors of IPO underpricing are studied.First of all, the main board market, small and medium-sized board market and growth enterprise market are tested from the pricing of new stock. Principal component factor analysis is used to extract the principal component factor, and then regression analysis is carried out.The results show that the IPO price has information efficiency in the primary market, which can reflect the value information of listed companies and the information of market transaction status.Secondly, starting with investor sentiment in the secondary market, the paper introduces the concept of open price return. The empirical results show that the main reason of IPO underpricing rate in three markets in China is that the opening price yield is too high.Investor sentiment significantly affects the open price return by influencing the behavior of investors in the aggregate bidding stage.This paper is divided into six parts.The first part is the introduction, analyzes the significance of this study, summarizes the relevant literature, and points out the innovation and shortcomings of this study.The second part expounds the theoretical basis of IPO underpricing.The third part compares the issuing system of the main board, the small and medium board and the gem stock market, and expounds the transition process from the fixed price issue to the market price issue.The fourth part compares the IPO underpricing of China's main board, small and medium-sized board and gem market, and analyzes the IPO underpricing rate before and after the IPO new regulation is issued in 2012.The fifth part further studies the influence factors of IPO underpricing in the first and second market. It is found that the open price yield, which is significantly influenced by investor sentiment, is the main factor leading to the underpricing of IPO, and the influence factors of different markets are compared from the institutional point of view.In the sixth part, according to the conclusion of the research, the author puts forward some policy suggestions on how to improve the pricing efficiency of IPO in the three stock markets of our country for a long time.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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