本文關(guān)鍵詞：中國A股市場IPO抑價影響因素的實證分析　出處：《華東理工大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO抑價現(xiàn)象 投機性假說 信息不對稱假說 發(fā)行制度

【摘要】：IPO抑價現(xiàn)象在各國股市普遍存在,但不管與發(fā)達(dá)國家股市相比,還是與發(fā)展中國家股市相比,我國股市的IPO抑價程度都是相當(dāng)嚴(yán)重的。它干擾了中國股市的健康成長,甚至危害國民經(jīng)濟的發(fā)展。IPO抑價的影響因素是什么?這是本文需要研究的問題。本文首先闡述了IPO抑價的傳統(tǒng)金融理論和行為金融理論,綜述了國內(nèi)外IPO抑價影響因素的實證文獻(xiàn),介紹了中國證券市場IPO發(fā)行背景及其制度演變。接著,以2001年至2012年間在中國A股上市的公司為研究樣本,運用描述性統(tǒng)計、相關(guān)性分析和多元回歸等統(tǒng)計方法,實證檢驗影響A股上市公司IPO抑價率的影響因素。研究發(fā)現(xiàn)：第一,在投機性假說中,新股在首個交易日中的換手率與IPO的初始回報率呈現(xiàn)顯著正相關(guān)；新股在交易首日的波動率與IPO初始回報率也呈顯著正相關(guān)關(guān)系；新股中簽率則和新股IPO抑價程度呈反比。第二,在信息不對稱假說下,新股申購日至上市日間的時間間隔與IPO抑價率呈現(xiàn)顯著正相關(guān)；募集資金總額與IPO抑價率則呈現(xiàn)顯著負(fù)相關(guān),即融資總額越大,IPO抑價程度就越低。通過對IPO抑價進行分析,能夠確定影響股市IPO抑價的主要因素和導(dǎo)致IPO抑價的深層次原因,進而針對這些原因提出降低股市IPO抑價程度的建議,為股市的健康發(fā)展提供政策參考。
[Abstract]:The phenomenon of IPO underpricing exists generally in the stock market of various countries, but it is compared with the stock market of the developed country and the stock market of the developing country. The degree of IPO underpricing in Chinese stock market is very serious. It interferes with the healthy growth of Chinese stock market, and even endangers the development of national economy. What are the influencing factors of IPO underpricing? This is a problem to be studied in this paper. Firstly, this paper expounds the traditional financial theory and behavioral finance theory of IPO underpricing, and summarizes the empirical literature on the influencing factors of IPO underpricing at home and abroad. This paper introduces the background of IPO issuance and the evolution of its system in China's securities market. Then, it uses descriptive statistics to study the companies listed in A shares from 2001 to 2012. Correlation analysis and multiple regression statistical methods, empirical test of the impact of A-share listed companies IPO underpricing factors. The study found: first, in the speculative hypothesis. The turnover rate of new shares in the first trading day is significantly positively correlated with the initial return of IPO; The volatility of new shares on the first day of trading also showed a significant positive correlation with the initial return of IPO. Secondly, under the information asymmetry hypothesis, the interval between the purchase date and the listing day of new shares is significantly positively correlated with the IPO underpricing rate; There is a significant negative correlation between the total amount of raised funds and the underpricing rate of IPO, that is, the larger the total amount of financing, the lower the degree of underpricing. Can determine the main factors affecting the stock market IPO underpricing and lead to the deep-seated causes of IPO underpricing, and then put forward some suggestions to reduce the IPO underpricing degree of the stock market. For the healthy development of the stock market to provide policy reference.
【學(xué)位授予單位】：華東理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1370658