本文選題：創(chuàng)業(yè)板 + 一級(jí)市場(chǎng)　； 參考：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：自2009年創(chuàng)業(yè)板成立以來(lái),發(fā)展迅速,IPO超募金額屢創(chuàng)新高。迄今為止,創(chuàng)業(yè)板已有356家上市公司,上市公司數(shù)量還在持續(xù)攀升。由于公司上市不僅會(huì)增加二級(jí)市場(chǎng)中股票的供給,而且還會(huì)減少市場(chǎng)上的總資金流,導(dǎo)致股票市場(chǎng)供求失衡,股票價(jià)格下跌,因此創(chuàng)業(yè)板一級(jí)市場(chǎng)上的大額融資會(huì)在短期內(nèi)對(duì)二級(jí)市場(chǎng)形成沖擊。不僅如此,從中長(zhǎng)期來(lái)看,二級(jí)市場(chǎng)走勢(shì)也會(huì)對(duì)一級(jí)市場(chǎng)形成反饋效應(yīng)。當(dāng)市場(chǎng)處于牛市時(shí),投資者情緒較為樂(lè)觀,市場(chǎng)資金充裕,上市公司的融資額相應(yīng)較高,而當(dāng)市場(chǎng)處于熊市時(shí),投資者的悲觀情緒則會(huì)降低上市公司的融資額。根據(jù)以上的理論分析,本文認(rèn)為創(chuàng)業(yè)板一級(jí)市場(chǎng)與二級(jí)市場(chǎng)之間應(yīng)該具有相互影響的聯(lián)動(dòng)效應(yīng)。基于此,本文對(duì)創(chuàng)業(yè)板一級(jí)市場(chǎng)與二級(jí)市場(chǎng)間的聯(lián)動(dòng)效應(yīng)進(jìn)行驗(yàn)證,并運(yùn)用計(jì)量模型測(cè)度二者之間的聯(lián)動(dòng)效應(yīng)程度,分析兩級(jí)市場(chǎng)間的長(zhǎng)期關(guān)系,以此從更全面的角度剖析創(chuàng)業(yè)板市場(chǎng)的典型特征。目前已有研究主要集中于一級(jí)市場(chǎng)的融資行為和二級(jí)市場(chǎng)的波動(dòng)性,結(jié)合我國(guó)的股票數(shù)據(jù)進(jìn)行了多角度的實(shí)證研究,但關(guān)于一級(jí)市場(chǎng)和二級(jí)市場(chǎng)間相互影響的研究目前尚不多見(jiàn)。據(jù)作者所知,創(chuàng)業(yè)板一級(jí)市場(chǎng)與二級(jí)市場(chǎng)間聯(lián)動(dòng)效應(yīng)的研究還無(wú)人涉及,然而準(zhǔn)確認(rèn)識(shí)創(chuàng)業(yè)板兩級(jí)市場(chǎng)間的聯(lián)動(dòng)效應(yīng)對(duì)創(chuàng)業(yè)板市場(chǎng)的發(fā)展無(wú)疑極為必要,因此本文的研究具有重要的理論價(jià)值和現(xiàn)實(shí)意義,同時(shí)對(duì)投資者的投資策略也有重要的指導(dǎo)意義。 本文的基本框架如下：第一章介紹選題背景、文章結(jié)構(gòu)及本文的研究意義和創(chuàng)新點(diǎn)；第二章綜述創(chuàng)業(yè)板一級(jí)市場(chǎng)和二級(jí)市場(chǎng)間互動(dòng)關(guān)系的現(xiàn)有文獻(xiàn),系統(tǒng)梳理國(guó)內(nèi)外已有的研究成果和研究現(xiàn)狀；第三章選取創(chuàng)業(yè)板月籌資額作為一級(jí)市場(chǎng)的代表性指標(biāo),創(chuàng)業(yè)板指數(shù)月平均收盤(pán)價(jià)作為二級(jí)市場(chǎng)的代表性指標(biāo),首先對(duì)兩個(gè)變量作相關(guān)性分析,其次對(duì)二者進(jìn)行單位根檢驗(yàn)和協(xié)整檢驗(yàn),并建立計(jì)量模型驗(yàn)證一級(jí)市場(chǎng)和二級(jí)市場(chǎng)間聯(lián)動(dòng)效應(yīng)的存在并進(jìn)行測(cè)度；第四章首先運(yùn)用事件研究法比較IPO前五個(gè)工作日與資金解凍后五個(gè)工作日的異常收益率,探討創(chuàng)業(yè)板一級(jí)市場(chǎng)大額融資對(duì)二級(jí)市場(chǎng)的短期影響,其次從政策層面和市場(chǎng)層面兩個(gè)方面研究了二級(jí)市場(chǎng)對(duì)于一級(jí)市場(chǎng)的中長(zhǎng)期影響。將月審核上市家數(shù)作為被解釋變量,創(chuàng)業(yè)板指月收益率及創(chuàng)業(yè)板指月成交額作為解釋變量,運(yùn)用回歸分析方法分析政策層面上二級(jí)市場(chǎng)對(duì)一級(jí)市場(chǎng)的影響。另外,本文還對(duì)創(chuàng)業(yè)板月成交額、創(chuàng)業(yè)板指月收盤(pán)價(jià)、創(chuàng)業(yè)板指月成交量和IPO首日成交量四個(gè)指標(biāo)進(jìn)行協(xié)整檢驗(yàn)并構(gòu)建模型,從市場(chǎng)層面探討二級(jí)市場(chǎng)對(duì)于一級(jí)市場(chǎng)的影響；第五章為本文的基本結(jié)論和政策建議。 本文的基本結(jié)論如下：第一,一級(jí)市場(chǎng)融資額與二級(jí)市場(chǎng)走勢(shì)之間存在顯著的協(xié)整關(guān)系,表明創(chuàng)業(yè)板一級(jí)市場(chǎng)與二級(jí)市場(chǎng)之間存在聯(lián)動(dòng)效應(yīng)。第二,申購(gòu)前和申購(gòu)后的兩個(gè)時(shí)間區(qū)間內(nèi),異常收益率均顯著為零,表明融資前投資者不會(huì)從二級(jí)市場(chǎng)抽出資金來(lái)申購(gòu)新股,而申購(gòu)資金解凍后投資者不會(huì)將沒(méi)有申購(gòu)成功的資金大量投入二級(jí)市場(chǎng),并以此推高二級(jí)市場(chǎng)走勢(shì),也即創(chuàng)業(yè)板一級(jí)市場(chǎng)的大額融資短期內(nèi)不會(huì)對(duì)二級(jí)市場(chǎng)造成沖擊,但在中長(zhǎng)期會(huì)產(chǎn)生影響。第三,二級(jí)市場(chǎng)價(jià)格變化對(duì)企業(yè)融資具有直接影響,因此二級(jí)市場(chǎng)對(duì)一級(jí)市場(chǎng)也具有顯著影響。第四,政府只有在市場(chǎng)波動(dòng)非常明顯的時(shí)候加入,波動(dòng)不明顯的時(shí)候任由市場(chǎng)自由發(fā)展,從而為創(chuàng)業(yè)板提供了足夠的發(fā)展空間。
[Abstract]:Since the founding of the gem, since the founding of the gem in 2009, the amount of IPO has been innovating repeatedly. So far, there are 356 listed companies on the gem. The number of listed companies is still rising. As the company is listed not only will increase the supply of stock in the two level market, but also reduce the total capital flow on the market, which leads to the imbalance of supply and demand in the stock market. The price of the ticket falls, so the large financing in the first level market of the gem will have a impact on the two level market in the short term. In the long run, the trend of the two level market will also have feedback effect on the first level market. When the market is in the bull market, the investor is more optimistic, the market capital is abundant, and the financing amount of the listed company is correspondingly better. When the market is in a bear market, the investor's pessimism will reduce the financing amount of the listed company. Based on the above theoretical analysis, this paper considers that the first level market and the two level market should have interaction effect. Based on this, the linkage effect between the first level market of the gem and the two level market is tested. It also uses the measurement model to measure the linkage effect between the two parties, analyzes the long-term relationship between the two levels of the market, and analyzes the typical characteristics of the GEM market from a more comprehensive perspective. At present, the existing research focuses on the financing behavior of the first level market and the wave of the two level market, and combines the stock data of our country in multiple angles. However, there are few studies on the interaction between the first and two level markets. As the author knows, there is no concern about the linkage effect between the first level market and the two level market. However, it is absolutely necessary to understand the linkage effect between the two level market of the gem. The study of this paper has important theoretical and practical significance, and also has important guiding significance for investors' investment strategy.
The basic framework of this paper is as follows: the first chapter introduces the background of the topic, the structure of the article and the significance and innovation of this paper. The second chapter summarizes the existing literature on the interaction between the first class market and the two level market, systematically combs the existing research achievements and research status at home and abroad; the third chapter selects the monthly financing amount of the gem as a first class. As the representative index of the market, the monthly average closing price of the gem is regarded as the representative index of the two level market. First, the correlation analysis is made to the two variables. Secondly, the unit root test and co integration test are carried out for the two, and the measurement model is established to verify the existence and measurement of the first and two level markets, and the fourth chapter is first to be measured. The event study method is used to compare the abnormal returns of the first five working days of IPO and five working days after the fund thawing, and to explore the short-term impact of the large amount of financing on the two level market in the first level market of the gem. Secondly, the medium and long term impact of the two level market on the first level market is studied from two aspects of the policy level and the market level. As the explanatory variables, the gem refers to the monthly rate of return and the monthly turnover of the gem as an explanatory variable. The regression analysis method is used to analyze the impact of the two level market on the first level market at the policy level. In addition, the monthly turnover of the gem, the closing price of the gem, the monthly turnover of the gem and the volume of the first day of IPO are four points. The co integration test is used to build the model, and the influence of the two level market on the primary market is discussed from the market level. The fifth chapter is the basic conclusions and policy recommendations of this paper.
The basic conclusions of this paper are as follows: there is a significant cointegration relationship between the first, first level market financing and the two level market trend, which indicates that there is a linkage effect between the first level market and the two level market. Second, the abnormal return rate is zero in the two time intervals of the pre purchase and after the bid, indicating that the investors before the financing will not be from the market. The two level market draws out the funds to purchase new shares, and after the purchase funds are defrosting, investors will not invest a large amount of funds without successful bid for the two level market and push the trend of the second level market. That is, the large financing of the first level market of the gem will not cause punching to the two level market in the short term, but it will have an impact in the middle and long term. Third, second Market price change has a direct impact on enterprise financing, so the two level market also has a significant impact on the first level market. Fourth, the government only joins in the very obvious market fluctuations, when the volatility is not obvious, the market is free to develop, thus providing sufficient space for the development of the gem.
【學(xué)位授予單位】：東北財(cái)經(jīng)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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