本文關(guān)鍵詞： 新股發(fā)行 臨時(shí)停牌制度 交易風(fēng)險(xiǎn)　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：我國(guó)A股市場(chǎng)素有“打新股”的投資習(xí)慣。得益于新股上市首日的高漲幅、高換手率,參與發(fā)行認(rèn)購(gòu)的投資者總能在首日的炒作氛圍中獲得可觀的收益。相反,在首日買(mǎi)入的投資者卻往往被長(zhǎng)期套牢。為了保護(hù)中小投資者利益、抑制二級(jí)市場(chǎng)對(duì)新股的炒作,我國(guó)深交所早在2006年就推出“新股上市首日臨時(shí)停牌制度”,以臨時(shí)停牌措施對(duì)新股首日漲跌幅、換手率等交易指標(biāo)進(jìn)行限制。2012年3月,深交所和上交所分別推出臨停制度加強(qiáng)版,對(duì)交易指標(biāo)和停牌時(shí)間都進(jìn)行了嚴(yán)格的規(guī)定。此次制度變化使得該制度首次獲得市場(chǎng)的高度關(guān)注。深交所在文件中,將該制度的政策目標(biāo)闡述為防范新股上市“首日交易風(fēng)險(xiǎn)”。基于上述背景,本文試圖對(duì)“首日交易風(fēng)險(xiǎn)”進(jìn)行定義和細(xì)化,研究在新股上市首日進(jìn)行交易的投資者都承擔(dān)了什么樣的交易風(fēng)險(xiǎn)。同時(shí),本文試圖研究2012年3月版本的臨停制度,對(duì)首日交易風(fēng)險(xiǎn)有何種影響、是否達(dá)到預(yù)定的政策目標(biāo)。本文將新股“首日交易風(fēng)險(xiǎn)””劃分為“量大”風(fēng)險(xiǎn)、“價(jià)高”風(fēng)險(xiǎn)和“連鎖效應(yīng)”,分別代表新股上市首日的高換手率、高漲幅以及首日漲幅的滯后影響。然后,本文使用我國(guó)A股在2010年初至2012年11月(IPO暫停之前)間上市的786支新股作為樣本,驗(yàn)證三種風(fēng)險(xiǎn)的存在性。此外,根據(jù)加強(qiáng)版臨停制度實(shí)施時(shí)間,本文將全部樣本劃分為三組,使用事件研究法探究臨停制度對(duì)“量大”風(fēng)險(xiǎn)和“價(jià)高”風(fēng)險(xiǎn)的影響。最后,本文使用帶有GARCH模型修正的自回歸模型刻畫(huà)“連鎖效應(yīng)”,并引入虛擬變量探究臨停制度對(duì)“連鎖效應(yīng)”的影響。本文研究結(jié)果表明,三種“首日交易風(fēng)險(xiǎn)”都存在,而首日臨停制度對(duì)三種風(fēng)險(xiǎn)都沒(méi)有起到理想的抑制作用。反而在一些情況下,三種風(fēng)險(xiǎn)在加強(qiáng)版臨停制度實(shí)施之后都更加嚴(yán)重。本文對(duì)這種現(xiàn)象的產(chǎn)生原因進(jìn)行了猜想,并給出政策建議與研究展望。
[Abstract]:China's A-share market has the habit of "playing new shares". Thanks to the high increase in the first day of new shares listing, high turnover rate, investors who participate in the issuance and subscription can always get considerable profits in the first day of speculation. On the contrary. In order to protect the interests of small and medium-sized investors, the secondary market to curb the speculation of new shares. As early as 2006, the Shenzhen Stock Exchange of China introduced the "temporary suspension system of new shares on the first day of listing", with temporary suspension measures to limit the trading indicators such as the rise and fall of new shares on the first day, the turnover rate, and so on. March 2012. The Shenzhen Stock Exchange and the Shanghai Stock Exchange have introduced an enhanced version of the temporary suspension system, which imposes strict rules on trading targets and suspension times. The change in the system has made the system highly visible for the first time in the market, the Shenzhen Stock Exchange said in a document. Based on the above background, this paper attempts to define and refine the "first-day trading risk". At the same time, this paper tries to study the March 2012 version of the temporary suspension system, what impact on the first day of trading risk. This paper classifies the "first-day trading risk" of new shares into "large volume" risk, "high price" risk and "chain effect", respectively, representing the high turnover rate of the first day of IPO. Then, this paper uses 786 new shares listed between early 2010 and November 2012, which were listed between early 2010 and November 2012. To verify the existence of the three risks. In addition, according to the implementation time of the enhanced temporary suspension system, all samples are divided into three groups. This paper uses the event study method to explore the impact of the temporary stop system on the risk of "large quantity" and "high price". Finally, this paper uses the autoregressive model with the modified GARCH model to describe the "linkage effect". And the virtual variables are introduced to explore the impact of the temporary stop system on the "chain effect". The results of this study show that all three "first-day trading risks" exist. On the other hand, the first day suspension system does not play an ideal role in restraining the three kinds of risks. On the contrary, in some cases. The three kinds of risks are more serious after the implementation of the system. This paper gives some suggestions and research prospects on the causes of this phenomenon.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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相關(guān)期刊論文 前1條

1 劉煜輝,熊鵬;股權(quán)分置、政府管制和中國(guó)IPO抑價(jià)[J];經(jīng)濟(jì)研究;2005年05期

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本文編號(hào)：1444326