中国A股市场IPO抑价影响因素的实证分析

发布时间：2018-01-02 19:35

本文关键词：中国A股市场IPO抑价影响因素的实证分析　出处：《华东理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：IPO抑价现象在各国股市普遍存在,但不管与发达国家股市相比,还是与发展中国家股市相比,我国股市的IPO抑价程度都是相当严重的。它干扰了中国股市的健康成长,甚至危害国民经济的发展。IPO抑价的影响因素是什么?这是本文需要研究的问题。本文首先阐述了IPO抑价的传统金融理论和行为金融理论,综述了国内外IPO抑价影响因素的实证文献,介绍了中国证券市场IPO发行背景及其制度演变。接着,以2001年至2012年间在中国A股上市的公司为研究样本,运用描述性统计、相关性分析和多元回归等统计方法,实证检验影响A股上市公司IPO抑价率的影响因素。研究发现：第一,在投机性假说中,新股在首个交易日中的换手率与IPO的初始回报率呈现显著正相关；新股在交易首日的波动率与IPO初始回报率也呈显著正相关关系；新股中签率则和新股IPO抑价程度呈反比。第二,在信息不对称假说下,新股申购日至上市日间的时间间隔与IPO抑价率呈现显著正相关；募集资金总额与IPO抑价率则呈现显著负相关,即融资总额越大,IPO抑价程度就越低。通过对IPO抑价进行分析,能够确定影响股市IPO抑价的主要因素和导致IPO抑价的深层次原因,进而针对这些原因提出降低股市IPO抑价程度的建议,为股市的健康发展提供政策参考。
[Abstract]:The phenomenon of IPO underpricing exists generally in the stock market of various countries, but it is compared with the stock market of the developed country and the stock market of the developing country. The degree of IPO underpricing in Chinese stock market is very serious. It interferes with the healthy growth of Chinese stock market, and even endangers the development of national economy. What are the influencing factors of IPO underpricing? This is a problem to be studied in this paper. Firstly, this paper expounds the traditional financial theory and behavioral finance theory of IPO underpricing, and summarizes the empirical literature on the influencing factors of IPO underpricing at home and abroad. This paper introduces the background of IPO issuance and the evolution of its system in China's securities market. Then, it uses descriptive statistics to study the companies listed in A shares from 2001 to 2012. Correlation analysis and multiple regression statistical methods, empirical test of the impact of A-share listed companies IPO underpricing factors. The study found: first, in the speculative hypothesis. The turnover rate of new shares in the first trading day is significantly positively correlated with the initial return of IPO; The volatility of new shares on the first day of trading also showed a significant positive correlation with the initial return of IPO. Secondly, under the information asymmetry hypothesis, the interval between the purchase date and the listing day of new shares is significantly positively correlated with the IPO underpricing rate; There is a significant negative correlation between the total amount of raised funds and the underpricing rate of IPO, that is, the larger the total amount of financing, the lower the degree of underpricing. Can determine the main factors affecting the stock market IPO underpricing and lead to the deep-seated causes of IPO underpricing, and then put forward some suggestions to reduce the IPO underpricing degree of the stock market. For the healthy development of the stock market to provide policy reference.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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