金融学专业 我国股票市场新股发行抑价影响因素的实证分析

我国股票市场新股发行抑价影响因素的实证分析——基于 A 股市场摘要新股发行抑价是各国股票市场的一个普遍现象，引起现代金融界的诸多关注，国外学者也提出一系列理论解释这一现象。而我国的 IPO 抑价幅度显著高于其他国家，并且受到制度因素的影响呈现出与国外成熟市场不同的“中国特色”，成为国内股票领域的三大异象之一。本文的研究主题是 IPO 抑价问题，以在沪深 A 股主板上市的若干只股票作为研究对象，充分考虑国外主流观点对国内股市 IPO 抑价的解释力度，并据此选定多个可能的相关条件进行实证研究，从而甄别其中与我国股市特点相对应的、最能解释我国新股抑价现象的观点。此外，本文还将根据我国股市发展阶段考虑对应的政策因素，选取从 1993 到 2017 的数据分四个阶段讨论，从而明确具体发行及审查相关制度是否会作用于国内 IPO 抑价现象。综合以上两个方面，通过对样本数据的分析处理，确定影响新股抑价的因素，为我国股票政策的决策和市场的优化提供更多的数据和理论支持。关键词：IPO 抑价 制度因素 实证分析1The Empirical Analysis of the Initial Public Offering Under-pricing in the Chinese A Stock MarketABSTRACTThe under-pricing of IPO is a common phenomenon in the stock markets all over the world, which has attracted much attention in modern finance. Foreign scholars have proposed a series of theories to explain it. However, China’s IPO under-pricing is significantly higher than other countries,and it is so influenced by institutional factors that presents some “Chinese characteristics” that are different from foreign mature markets, it is one of the three major new stock issuances in China.This article chooses the IPO under-pricing issue as the theme, taking several stocks listed on the A-shares main board of theShanghai-Shenzhen Stock Exchange as research objects, to exam whether the foreign mainstream opinions could explain the IPO under-pricing in the Chinese stock market, after that, several factors would be chosen to continue the empirical test. In the ...