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  本文關(guān)鍵詞：投資者情緒對A股IPO初始超額收益影響研究　出處：《江西財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO初始超額收益 情緒代理變量 行為金融

【摘要】：對于我國A股市場,IPO初始超額收益率一直都是一個不可回避的問題。人們有很多疑問,IPO初始超額收益率為什么可以長期存在,為什么中國石油上市首日市盈率高達(dá)80多倍仍然有那么多投資者爭先涌入?投資者的行為一直讓人們難以理解,但又是股票市場上客觀存在的事實(shí),而傳統(tǒng)金融學(xué)理論卻無法解釋這-我們稱之為金融異象的現(xiàn)象。 因此本文將在行為金融理論的基礎(chǔ)上,研究投資者情緒對IPO初始超額收益影響的情況。與傳統(tǒng)金融理論不同,行為金融理論是建立在投資者非理性和有限套利的假設(shè)之上,這顛覆了傳統(tǒng)金融學(xué)理性人和完全套利的假設(shè)前提。行為金融學(xué)研究重點(diǎn)是投資者行為對其投資決策的影響,以及由此而產(chǎn)生對市場的反應(yīng)。它致力于研究人們的認(rèn)知、情感和態(tài)度等各種復(fù)雜的心理特征,并在此基礎(chǔ)上建立行為金融模型來研究市場上的異象。本文引入行為金融學(xué)中的DHS、DSSW模型,用以刻畫狂熱投資者和正反饋投資者對IPO交易價格的影響機(jī)制。 投資者情緒的衡量是本文實(shí)證研究需要面對的首要問題,正是因?yàn)橥顿Y者情緒是一個主觀概念,所以無法直接衡量。鑒于此,本文另辟蹊徑,選取能夠間接表示投資者情緒的指標(biāo),稱之為情緒代理變量。最終本文選取上市首日開盤價相對發(fā)行價的漲跌幅、中簽率、市場換手率、發(fā)行當(dāng)月A股平均市盈率、新增開戶數(shù)、短期和中期好淡指數(shù)、消費(fèi)者信心指數(shù)等8個情緒代理變量,分別代表狂熱投資者情緒和正反饋交易者情緒。并且引入發(fā)行規(guī)模、行業(yè)特征等控制變量和年份虛擬變量,以剔除其他可能對IPO初始超額收益產(chǎn)生影響的因素。 由于2006年是股權(quán)分置改革元年,也是新股發(fā)行制度改革較大的一年,因此本文選取2006年6月1日到2012年10月31日在我國滬深兩市首次公開發(fā)行并上市的1134只A股為實(shí)證研究的樣本。采用手工和數(shù)據(jù)庫下載的方法搜集了數(shù)萬條相關(guān)數(shù)據(jù),然后利用R軟件進(jìn)行回歸分析來研究投資者情緒對IPO初始超額收益的影響。并且對模型進(jìn)行了穩(wěn)健性檢驗(yàn),證實(shí)了模型的可靠性。 實(shí)證研究結(jié)果表明,投資者情緒是引起A股IPO初始超額收益的主要因素,其中狂熱投資者情緒是造成IPO初始超額收益率的主要原因,而正反饋交易者進(jìn)一步提高了IPO初始超額收益率。同時筆者發(fā)現(xiàn)中小板和創(chuàng)業(yè)板的IPO初始超額收益率相比主板市場更高,說明投資者情緒對這兩個市場的IPO初始收益影響更加嚴(yán)重。另外,虛擬變量的引入證實(shí)了制度改革能夠降低IPO初始收益率。 最后根據(jù)本文的研究結(jié)論,建議監(jiān)管機(jī)構(gòu)應(yīng)繼續(xù)大力完善IPO發(fā)行和交易制度,推行注冊制、降低上市門檻、提高上市效率,走市場化的改革之路,這樣才能從根本上逐漸降低狂熱投資者對IPO的炒作熱情。同時建議監(jiān)管機(jī)構(gòu)對市場參與者各方的行為進(jìn)行規(guī)范和協(xié)調(diào),加強(qiáng)教育引導(dǎo),還要嚴(yán)格執(zhí)法,對于欺詐造假、老鼠倉等違法事件從重處罰,這樣才可以讓市場各方參與者形成穩(wěn)定預(yù)期,從而盡量減少投資者在決策過程中的狂熱情緒。只有這樣,才能使我國證券市場穩(wěn)定、均衡和健康的發(fā)展,充分體現(xiàn)股票市場在資源配置、信號傳遞、價格發(fā)現(xiàn)上的各項(xiàng)功能。
[Abstract]:For our A stock market, IPO initial return rate has been an unavoidable problem. People have questions, IPO initial return rate why can exist for a long time, why Chinese petroleum listed on the first day of earnings up to 80 times there are still so many investors for the first influx of investors' behavior has let people? It is difficult to understand, but it is the objective existence of the stock market and the fact that the traditional finance theory cannot explain this - we call the financial anomalies phenomenon.
This paper will be based on behavioral finance theory, the research of the investor sentiment on IPO initial excess returns. Different from the traditional financial theory, behavioral finance theory is based on the non rational investors and limited arbitrage assumption, the subversion of the traditional financial theory of people and the complete arbitrage hypothesis of behavioral finance. The research focuses on the impact of the behavior of investors on their investment decisions, and the resulting reaction to the market. It is dedicated to the study of people's cognition, emotion and attitude and psychological characteristics of the complex, and on this basis to establish a model to study the behavior of financial market vision. This paper introduces behavioral Finance in DHS, DSSW model is used to characterize investor sentiment and positive feedback mechanism of the effect of investors on IPO price.
A measure of investor sentiment is the primary problem of empirical research in this paper need to face, it is because the investor sentiment is a subjective concept, it cannot be directly measured. In view of this, this thesis tries to select indirect investor sentiment index, called emotional agent variables. Finally this article selected listed on the first day opening price relative to the issue price of the the success rate of decline, the market turnover rate, the average price earnings ratio of A shares issued, the number of new accounts, short-term and medium-term Haodan index, consumer confidence index 8 mood proxy variables representing mania, investor sentiment and positive feedback traders emotions. And the introduction of the issue size, industry characteristics and other control variables and year dummy in order to eliminate other variable factors which may influence the IPO initial return.
Since 2006 is the first year of the reform of non tradable shares, the IPO reform is larger for a year, so this paper selects 1134 A shares from June 1, 2006 to October 31, 2012 in China's two stock markets IPO and listing as empirical research samples. By using the method of manual download and database is a collection of tens of thousands of relevant data, and then to study the influence of investor sentiment on IPO initial return by regression analysis using R software. And the model of the robustness tests confirmed the reliability of the model.
The empirical results show that investor sentiment is the main factor causing A shares of IPO initial return, which is mainly caused by the enthusiasm of investor sentiment IPO initial return rate, and positive feedback traders to further improve the IPO initial return rate. At the same time, the author found that the small board and gem IPO initial return rate compared to the main board market higher IPO initial return effect of the two market investor sentiment is more serious. In addition, the dummy variable is introduced that system reform can reduce the initial return rate of IPO.
Finally according to the conclusions of this study, suggest that the regulatory authorities should continue to vigorously improve the IPO issuance and trading system, the implementation of the registration system, to reduce the listing threshold, improve the efficiency of the listing, the market to go the road of reform, in order to fundamentally reduce the enthusiasm of investors IPO gradually speculation enthusiasm. At the same time suggest regulators for market participants all specification and coordination, strengthen education and guidance, but also strict law enforcement, for fraud, fraud, rat and other violations severely punished, so that it can make the market is expected to stabilize the formation of all participants, so as to reduce the investor enthusiasm in the decision-making process of emotions. Only in this way can we make our stock market stable, balanced development and healthy, fully reflect the stock market in the allocation of resources, signal transmission, the function of price discovery.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

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相關(guān)期刊論文 前1條

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本文編號：1429790