本文關鍵詞： 詢價機構 主承銷商 投資者情緒　出處：《廈門大學》2014年碩士論文　論文類型：學位論文

【摘要】：本文基于IPO詢價過程中詢價機構的報價數(shù)據(jù),研究詢價過程的兩個參與主體——詢價機構和主承銷商是否受到二級市場投資者情緒的傳染,從而推高新股發(fā)行價格。文章首先構建了我國股票市場投資者情緒的月度綜合指標；然后以2010年11月1日以來WIND公布的詢價機構報價數(shù)據(jù)為研究樣本,構建了詢價機構對每只新股報價的加權平均數(shù)(算術平均、中位數(shù))和偏度系數(shù)。以此來研究詢價機構的報價行為和主承銷商的定價行為是否受到情緒的影響。 文章對詢價機構的實證研究表明詢價機構對于新股的報價普遍偏高,這可能是由于我國詢價機制本質(zhì)上是荷蘭式競標制度。而且報價偏高的程度以及報價的分歧度均顯著受到了投資者情緒的影響,表明了處于一級市場的詢價機構顯著受到了來自二級市場情緒的影響。文章接下來針對投資者情緒與承銷商定價之間的關系進行了實證檢驗,并加入了保薦代表人的特征作為控制變量。實證結果顯示,主承銷商對新股的定價要顯著高于詢價機構的報價,且與投資者情緒顯著正相關。 總而言之,本文的研究表明：投資者情緒會傳染至一級市場,對IPO詢價主體產(chǎn)生顯著影響。作為參與新股詢價的兩個主體——詢價機構和主承銷商對于新股高定價均起到了推波助瀾的作用。 本文的主要創(chuàng)新之處在于：第一,對詢價機構的報價數(shù)據(jù)進行了系統(tǒng)的分析,采用詢價機構報價數(shù)據(jù)的密度分布的偏度系數(shù)來衡量詢價機構報價的理性程度,并研究了投資者情緒對該偏度系數(shù)的影響；第二,在分析了詢價機構報價受到投資者情緒影響的基礎上,進一步研究了主承銷商在詢價機構報價的基礎上抬高新股發(fā)行價格的行為;此外,作為補充研究,加入了保薦代表人的特征作為控制變量,發(fā)現(xiàn)了保薦代表人在IPO定價過程中職能缺失的現(xiàn)狀。
[Abstract]:Based on the quotation data of the inquiry agencies in the process of IPO inquiry, this paper studies whether the two participants in the inquiry process-the inquiry institutions and the lead underwriters-are infected by the investor sentiment in the secondary market. This paper first constructs the monthly comprehensive index of investor sentiment in China's stock market, and then takes the inquiry agency quotation data published by WIND since November 1st 2010 as the research sample. The weighted average (arithmetic average, median) and skewness coefficient of the quotation of each new stock by the inquiry agency are constructed to study whether the quotation behavior of the inquiry agency and the pricing behavior of the lead underwriter are affected by emotion. The empirical study of inquiry institutions shows that the quotation of new shares by inquiry agencies is generally on the high side. This may be due to the fact that the inquiry mechanism in China is essentially a Dutch bidding system. Moreover, the degree of high quotation and the degree of divergence are significantly affected by investor sentiment. The results show that the inquiry institutions in the primary market are significantly affected by the secondary market sentiment. Then the paper makes an empirical study on the relationship between investor sentiment and underwriter pricing. The empirical results show that the pricing of new shares by lead underwriters is significantly higher than that of inquiry institutions and is positively correlated with investor sentiment. All in all, the research in this paper shows that investor sentiment can spread to the primary market. It has a significant influence on the main body of IPO inquiry. As the two main bodies involved in the new stock inquiry, the inquiry organization and the lead underwriter both play a role in promoting the high price of the new stock. The main innovations of this paper are as follows: first, the quotation data of inquiry agencies are systematically analyzed, and the bias coefficient of the density distribution of quotation data of inquiry agencies is used to measure the rational degree of quotation of inquiry agencies. The influence of investor sentiment on the bias coefficient is also studied. Secondly, on the basis of analyzing the influence of inquiry agency quotation on investor sentiment, The behavior of the lead underwriter in raising the price of new shares on the basis of the quotation of the inquiry agency is further studied. In addition, as a supplementary study, the characteristics of the sponsor representative are added as the control variable. Found the status quo of missing function of sponsor representative in IPO pricing process.
【學位授予單位】：廈門大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F831.51

【引證文獻】

相關碩士學位論文 前1條

1 李明;詢價制度改革、機構報價行為與IPO首日回報率[D];暨南大學;2015年

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本文編號：1500098