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  本文關鍵詞：中國證券市場新股首月回報波動性分析　出處：《吉林大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 證券市場 首月回報 定價效率 波動性

【摘要】：我們認為，新股發(fā)行首日回報（IPO抑價率）并不能真正反映IPO的定價效率。為控制新股發(fā)行高抑價現(xiàn)象，上海證券交易所和深圳證券交易所都出臺了不同的停盤規(guī)則，當盤中成交價較當日開盤價差距過大，或盤中換手率較大時，均會采取相應的停盤規(guī)則。新規(guī)定雖有效抑制了IPO抑價和破發(fā)現(xiàn)象，但這使得首日股票價格的變動對于IPO定價效率的解釋程度有所降低。因此，我們在傳統(tǒng)的研究定價效率方法的基礎上提出了一種評價IPO定價效率的新方法：新股首月回報波動性分析法。這種分析方法不但能夠有效規(guī)避部門政策在首日回報對于IPO定價效率替代性方面的影響，，還可以更全面地反應上市新股的初始回報狀況。 本文對新股的前21個交易日收盤價的數(shù)據(jù)進行著重研究。首先對新股收益率波動的均值及標準差進行統(tǒng)計分析。然后通過面板數(shù)據(jù)考察新股首月回報均值與波動之間的相關關系，進而運用EGARCH模型考察時間序列變化對IPO初始回報及其分布的影響。此外，文章還將進一步討論其他可能影響IPO初始回報波動的因素。最后，我們用有限的樣本來比較詢價制定價與拍賣制定價在定價效率上的差別。
[Abstract]:We believe that the IPO underpricing rate on the first day of new stock issuance) can not really reflect the pricing efficiency of IPO, in order to control the phenomenon of high underpricing of new stock issuance. The Shanghai Stock Exchange and the Shenzhen Stock Exchange have issued different stoppage rules when the intraday trading price is too different from the opening price of the day or when the intraday turnover rate is larger. The new regulation can effectively restrain the IPO underpricing and break, but it makes the first day stock price change to the IPO pricing efficiency explanation degree has reduced. Based on the traditional pricing efficiency method, we propose a new method to evaluate the pricing efficiency of IPO. This method can not only effectively avoid the impact of departmental policy on the substitution of IPO pricing efficiency in the first day return. It can also more fully reflect the initial return of listed new shares. This paper focuses on the data of the closing price of the first 21 trading days of the new shares. Firstly, it makes a statistical analysis of the mean and standard deviation of the volatility of the return rate of new shares. Then, through panel data, the mean and the average return of the first month of the new shares are investigated. The correlation between fluctuations. Then we use the EGARCH model to investigate the effect of time series changes on the initial return and its distribution of IPO. In addition, we will further discuss other factors that may affect the volatility of IPO initial return. Finally. We use a limited sample to compare the pricing efficiency between an inquiry and an auction.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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相關期刊論文 前2條

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