A股与H股IPO长期表现比较研究

发布时间：2018-06-05 09:45

本文选题：IPO长期表现 + IPO抑价　；参考：《湖南大学》2014年硕士论文

【摘要】：股票的IPO问题得到了越来越多学者的关注，其中IPO抑价现象、热市发行现象和IPO长期表现弱势现象，统称为“IPO之谜”。但是大多数学者对IPO谜题的研究多集中于前两个现象，而对IPO长期表现弱势问题则有所忽视。国内学者对IPO长期表现的研究多集中于A股市场，极少研究香港市场的IPO问题。与以往学者研究不同，本文对我国内地A股和香港H股的IPO长期表现问题进行比较研究，探究我国内地和香港市场IPO长期表现的异同。选取了2000-2009年A股上市的773家公司、H股上市的104家公司，A+H股交叉上市的21家公司为样本，首先通过描述性统计方法，，从上市年度、上市市场、行业、发行价等多个视角分析了我国A股和H股IPO抑价和IPO长期表现情况。其次，对我国A股和H股的三年期长期表现的差异性进行了统计分析，探索二者之间的差异是否显著存在。最后，构建多元回归方程，找出可能影响A股和H股IPO长期走势的因素。在理论研究和实证研究的基础上，本文发现：我国A股长期走弱，三年期累积调整平均超额收益（CAR）为-31.25%，而H股长期走强，三年期CAR为27.53%，并且二者之间的这种差异是显著存在的；交叉上市A+H股股票，无论是A股部分还是H股部分长期来看都是走强的，A股部分长期表现强于我国A股整体，其三年期CAR为6.81%，H股部分长期表现强于我国H股整体，三年期CAR为60.68%；不同行业、不同上市年度、不同上市市场、不同发行价格、不同IPO抑价水平下A股与H股IPO长期表现不同，但是这种差异并不总是显著的。其中，A股三年期长期表现主要受同期大盘表现、筹资金额、上市市场的影响；H股三年期长期表现则主要受上市市场的影响；而IPO抑价水平对A股和H股三年期长期表现的影响均不显著。
[Abstract]:More and more scholars pay attention to the IPO problem of stock, including the phenomenon of IPO underpricing, the hot market issue and the long-term weakness of IPO, which is called "the riddle of IPO". However, most scholars focus on the first two phenomena in the study of IPO puzzles, but ignore the long-term weak performance of IPO. Domestic scholars mainly focus on the long-term performance of IPO in A-share market, and rarely study IPO in Hong Kong market. Different from previous studies, this paper makes a comparative study on the long-term performance of IPO in China's mainland A shares and Hong Kong's H shares, and explores the similarities and differences of the long term performance of IPO in China's mainland and Hong Kong markets. From 2000 to 2009, 773 companies listed in A shares and 104 companies listed in H shares were selected as samples. Firstly, through descriptive statistical method, from the year of listing, the listed market, industry, This paper analyzes the long-term performance of IPO underpricing and IPO in Chinese A-shares and H-shares from several perspectives such as issue price. Secondly, the paper makes a statistical analysis on the differences of the three-year long term performance between A shares and H shares in China, and explores whether the differences between them are significant. Finally, the multivariate regression equation is constructed to find out the factors that may affect the long-term trend of A-share and H-share IPO. On the basis of theoretical and empirical studies, this paper finds that A shares in China have weakened for a long time, the average excess return of triennial-cumulated adjustment is -31.25, while H shares are strong for a long time, and the three-year CAR is 27.53, and the difference between them is significant. Cross-listed A-H shares, both A-shares and H-shares, are stronger in the long run. The A-share portion is stronger than China's A-shares in the long run, and its three-year CAR is 6.81.The long-term performance of the H-shares is stronger than that of China's H-shares. The three-year CAR is 60.68. The long-term performance of A-share and H-share IPO is different under different IPO underpricing, different industry, different listing year, different market price and different IPO underpricing level, but the difference is not always significant. Among them, the three-year long-term performance of A shares is mainly affected by the market performance, the amount of funds raised and the listed market in the same period, while the three-year long-term performance of H shares is mainly affected by the listed market. However, the IPO underpricing level has no significant effect on the long-term performance of A-shares and H-shares.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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