本文關(guān)鍵詞：中國(guó)股市新股破發(fā)及其成因研究　出處：《華南理工大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 新股破發(fā) 一級(jí)市場(chǎng)高定價(jià) 二級(jí)市場(chǎng)投資者情緒

【摘要】：近年來(lái)，中國(guó)股市新股破發(fā)的現(xiàn)象頻頻出現(xiàn)，破發(fā)比例和破發(fā)幅度均遠(yuǎn)高于發(fā)達(dá)資本市場(chǎng)的水平。本文以2010——2012年中國(guó)A股市場(chǎng)破發(fā)的新股為樣本，對(duì)新股破發(fā)的現(xiàn)象進(jìn)行分析和檢驗(yàn)，探尋新股破發(fā)的成因，并根據(jù)研究結(jié)論提出相應(yīng)的政策建議。 本文采用理論分析與實(shí)證分析相結(jié)合的方法展開(kāi)研究，全文共分四章。第一章緒論，主要介紹本文選題背景以及研究目的，國(guó)內(nèi)外研究綜述，并對(duì)本文的研究方法和思路進(jìn)行說(shuō)明。第二章是中國(guó)股市破發(fā)的新股的現(xiàn)狀分析，對(duì)破發(fā)的概念進(jìn)行界定，對(duì)研究樣本進(jìn)行描述性統(tǒng)計(jì)分析，從樣本的行業(yè)分布、上市板塊分布、上市前盈利指標(biāo)等方面進(jìn)行統(tǒng)計(jì)，對(duì)新股破發(fā)的程度進(jìn)行測(cè)算。第三章和第四章是新股破發(fā)主要成因的探討。其中，第三章探尋一級(jí)市場(chǎng)高定價(jià)對(duì)新股破發(fā)的影響，首先結(jié)合中國(guó)新股發(fā)行制度的現(xiàn)狀以及信息不對(duì)稱(chēng)理論，推演出一級(jí)市場(chǎng)高定價(jià)是導(dǎo)致新股破的原因的研究假設(shè)，然后通過(guò)剩余收益價(jià)值模型測(cè)算新股內(nèi)在價(jià)值并與實(shí)際發(fā)行價(jià)格進(jìn)行差異性檢驗(yàn)，通過(guò)隨機(jī)前沿成本函數(shù)檢驗(yàn)樣本一級(jí)市場(chǎng)定價(jià)是否存在隨機(jī)前沿下邊界；最后根據(jù)實(shí)證結(jié)果對(duì)一級(jí)市場(chǎng)發(fā)行制度提出政策建議。第四章探尋二級(jí)市場(chǎng)投資者情緒對(duì)新股破發(fā)的影響。首先總結(jié)中國(guó)二級(jí)市場(chǎng)投資者的分布特征，結(jié)合投資者情緒理論模型，推演出二級(jí)市場(chǎng)投資者情緒是導(dǎo)致新股破發(fā)的原因的研究假設(shè)；然后通過(guò)多元回歸分析對(duì)該研究假設(shè)進(jìn)行檢驗(yàn)，通過(guò)因子分析構(gòu)建綜合情緒指標(biāo)并再次檢驗(yàn)投資者情緒對(duì)新股破發(fā)的影響，最后根據(jù)研究結(jié)論對(duì)二級(jí)市場(chǎng)投資者情緒引導(dǎo)提出相應(yīng)的政策建議。 本文的主要研究結(jié)論是：（1）中國(guó)股市近三年新股的平均破發(fā)比例為18.32%，破發(fā)幅度達(dá)6.52%，電子信息技術(shù)行業(yè)新股破發(fā)幅度最大，，主板上市公司破發(fā)概率最大，從上市前主要盈利指標(biāo)來(lái)看，破發(fā)的上市公司好于同期抑價(jià)的上市公司。（2）新股破發(fā)原因之一是一級(jí)市場(chǎng)發(fā)行人和承銷(xiāo)商存在高定價(jià)的動(dòng)機(jī)，發(fā)行價(jià)格高于新股的內(nèi)在價(jià)值且二者存在顯著差異，一級(jí)市場(chǎng)定價(jià)存在隨機(jī)前沿下邊界，即存在顯著的高定價(jià)行為。（3）新股破發(fā)的另外一個(gè)原因是二級(jí)市場(chǎng)的投資者情緒，投資者情緒對(duì)新股破發(fā)的影響顯著，投資者情緒越低落，新股破發(fā)的幅度越大。
[Abstract]:In recent years, China stock shares break phenomenon appeared frequently break and break the proportion of margin was much higher than that in the developed capital market level. Based on the 2010 - 2012 Chinese A stock market to break new shares as the sample, test and analysis of the new break phenomenon, explore new shares break the causes, and put forward the corresponding policy suggestions according to the research conclusion.
The research is carried out by combining theoretical analysis and empirical analysis, this paper consists of four chapters. The first chapter is the introduction, mainly introduced the research background, research purpose, research at home and abroad, and the methods and ideas of this research. The second chapter is the analysis of China stock market break new situation, define to break the concept of descriptive statistical analysis of the sample, the sample from the distribution industry, market segment distribution, prior to listing the profitability indicators and other aspects of statistics, to break new degree were calculated. The third chapter and the fourth chapter is to discuss the main causes of the new break. Among them, the third chapter explores the influence of a high level of market pricing to break new shares, first with the status quo of China IPO system and information asymmetry theory, deduce a market pricing is the research hypothesis of the breaking cause of new shares Then, by calculating the value of residual income model shares the intrinsic value and the actual issue price difference test, through the stochastic frontier cost function test samples of the primary market pricing exists under the stochastic frontier boundary; finally according to the empirical results of the paper put forward policy suggestions on IPO market. The fourth chapter explores the influence of investor sentiment on the market two the new break. First summarizes the distribution characteristics of Chinese two secondary market investors, combined with investor sentiment theory model, deduce the investor level two market sentiment is the cause of the break new research hypothesis; then through multiple regression analysis to test hypotheses of the study, through factor analysis to construct the comprehensive sentiment index and again test the impact of investor sentiment to break new shares, according to the research results on the two level of market investors emotional guidance and put forward the corresponding policy Suggestions.
The main conclusions are as follows: (1) Chinese stock market for nearly three years the average shares break ratio of 18.32%, the break rate of 6.52%, the electronic information technology industry shares break the biggest break probability from the listed company listed on the main board, the main profit indicators, breaking the listed companies better than the same period of the underpricing of listed company. (2) the new break is one of the reasons for the presence of high pricing motives and underwriters to issue a market, there was significant difference between the issue price is higher than the intrinsic value of the shares and the two, the level of market pricing has a stochastic frontier boundary, namely high pricing behavior significantly. (3) another reason shares the break is the two secondary market investor sentiment, the influence of investor sentiment on the new break significantly, investors are more depressed, the new break of greater magnitude.

【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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