创业板一级市场与二级市场联动效应研究

发布时间：2018-06-06 22:12

本文选题：创业板 + 一级市场　；参考：《东北财经大学》2013年硕士论文

【摘要】：自2009年创业板成立以来,发展迅速,IPO超募金额屡创新高。迄今为止,创业板已有356家上市公司,上市公司数量还在持续攀升。由于公司上市不仅会增加二级市场中股票的供给,而且还会减少市场上的总资金流,导致股票市场供求失衡,股票价格下跌,因此创业板一级市场上的大额融资会在短期内对二级市场形成冲击。不仅如此,从中长期来看,二级市场走势也会对一级市场形成反馈效应。当市场处于牛市时,投资者情绪较为乐观,市场资金充裕,上市公司的融资额相应较高,而当市场处于熊市时,投资者的悲观情绪则会降低上市公司的融资额。根据以上的理论分析,本文认为创业板一级市场与二级市场之间应该具有相互影响的联动效应。基于此,本文对创业板一级市场与二级市场间的联动效应进行验证,并运用计量模型测度二者之间的联动效应程度,分析两级市场间的长期关系,以此从更全面的角度剖析创业板市场的典型特征。目前已有研究主要集中于一级市场的融资行为和二级市场的波动性,结合我国的股票数据进行了多角度的实证研究,但关于一级市场和二级市场间相互影响的研究目前尚不多见。据作者所知,创业板一级市场与二级市场间联动效应的研究还无人涉及,然而准确认识创业板两级市场间的联动效应对创业板市场的发展无疑极为必要,因此本文的研究具有重要的理论价值和现实意义,同时对投资者的投资策略也有重要的指导意义。本文的基本框架如下：第一章介绍选题背景、文章结构及本文的研究意义和创新点；第二章综述创业板一级市场和二级市场间互动关系的现有文献,系统梳理国内外已有的研究成果和研究现状；第三章选取创业板月筹资额作为一级市场的代表性指标,创业板指数月平均收盘价作为二级市场的代表性指标,首先对两个变量作相关性分析,其次对二者进行单位根检验和协整检验,并建立计量模型验证一级市场和二级市场间联动效应的存在并进行测度；第四章首先运用事件研究法比较IPO前五个工作日与资金解冻后五个工作日的异常收益率,探讨创业板一级市场大额融资对二级市场的短期影响,其次从政策层面和市场层面两个方面研究了二级市场对于一级市场的中长期影响。将月审核上市家数作为被解释变量,创业板指月收益率及创业板指月成交额作为解释变量,运用回归分析方法分析政策层面上二级市场对一级市场的影响。另外,本文还对创业板月成交额、创业板指月收盘价、创业板指月成交量和IPO首日成交量四个指标进行协整检验并构建模型,从市场层面探讨二级市场对于一级市场的影响；第五章为本文的基本结论和政策建议。本文的基本结论如下：第一,一级市场融资额与二级市场走势之间存在显著的协整关系,表明创业板一级市场与二级市场之间存在联动效应。第二,申购前和申购后的两个时间区间内,异常收益率均显著为零,表明融资前投资者不会从二级市场抽出资金来申购新股,而申购资金解冻后投资者不会将没有申购成功的资金大量投入二级市场,并以此推高二级市场走势,也即创业板一级市场的大额融资短期内不会对二级市场造成冲击,但在中长期会产生影响。第三,二级市场价格变化对企业融资具有直接影响,因此二级市场对一级市场也具有显著影响。第四,政府只有在市场波动非常明显的时候加入,波动不明显的时候任由市场自由发展,从而为创业板提供了足够的发展空间。
[Abstract]:Since the founding of the gem, since the founding of the gem in 2009, the amount of IPO has been innovating repeatedly. So far, there are 356 listed companies on the gem. The number of listed companies is still rising. As the company is listed not only will increase the supply of stock in the two level market, but also reduce the total capital flow on the market, which leads to the imbalance of supply and demand in the stock market. The price of the ticket falls, so the large financing in the first level market of the gem will have a impact on the two level market in the short term. In the long run, the trend of the two level market will also have feedback effect on the first level market. When the market is in the bull market, the investor is more optimistic, the market capital is abundant, and the financing amount of the listed company is correspondingly better. When the market is in a bear market, the investor's pessimism will reduce the financing amount of the listed company. Based on the above theoretical analysis, this paper considers that the first level market and the two level market should have interaction effect. Based on this, the linkage effect between the first level market of the gem and the two level market is tested. It also uses the measurement model to measure the linkage effect between the two parties, analyzes the long-term relationship between the two levels of the market, and analyzes the typical characteristics of the GEM market from a more comprehensive perspective. At present, the existing research focuses on the financing behavior of the first level market and the wave of the two level market, and combines the stock data of our country in multiple angles. However, there are few studies on the interaction between the first and two level markets. As the author knows, there is no concern about the linkage effect between the first level market and the two level market. However, it is absolutely necessary to understand the linkage effect between the two level market of the gem. The study of this paper has important theoretical and practical significance, and also has important guiding significance for investors' investment strategy.
The basic framework of this paper is as follows: the first chapter introduces the background of the topic, the structure of the article and the significance and innovation of this paper. The second chapter summarizes the existing literature on the interaction between the first class market and the two level market, systematically combs the existing research achievements and research status at home and abroad; the third chapter selects the monthly financing amount of the gem as a first class. As the representative index of the market, the monthly average closing price of the gem is regarded as the representative index of the two level market. First, the correlation analysis is made to the two variables. Secondly, the unit root test and co integration test are carried out for the two, and the measurement model is established to verify the existence and measurement of the first and two level markets, and the fourth chapter is first to be measured. The event study method is used to compare the abnormal returns of the first five working days of IPO and five working days after the fund thawing, and to explore the short-term impact of the large amount of financing on the two level market in the first level market of the gem. Secondly, the medium and long term impact of the two level market on the first level market is studied from two aspects of the policy level and the market level. As the explanatory variables, the gem refers to the monthly rate of return and the monthly turnover of the gem as an explanatory variable. The regression analysis method is used to analyze the impact of the two level market on the first level market at the policy level. In addition, the monthly turnover of the gem, the closing price of the gem, the monthly turnover of the gem and the volume of the first day of IPO are four points. The co integration test is used to build the model, and the influence of the two level market on the primary market is discussed from the market level. The fifth chapter is the basic conclusions and policy recommendations of this paper.
The basic conclusions of this paper are as follows: there is a significant cointegration relationship between the first, first level market financing and the two level market trend, which indicates that there is a linkage effect between the first level market and the two level market. Second, the abnormal return rate is zero in the two time intervals of the pre purchase and after the bid, indicating that the investors before the financing will not be from the market. The two level market draws out the funds to purchase new shares, and after the purchase funds are defrosting, investors will not invest a large amount of funds without successful bid for the two level market and push the trend of the second level market. That is, the large financing of the first level market of the gem will not cause punching to the two level market in the short term, but it will have an impact in the middle and long term. Third, second Market price change has a direct impact on enterprise financing, so the two level market also has a significant impact on the first level market. Fourth, the government only joins in the very obvious market fluctuations, when the volatility is not obvious, the market is free to develop, thus providing sufficient space for the development of the gem.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】