我国A股IPO效率影响因素的实证研究  

A Study on the Influencing Factors of IPO Efficiency in Chinese ‘A’ Stock Market

作　　者：田高良[1] 王晓亮[2] 

机构地区：[1]西安交通大学管理学院会计与财务系 [2]中国建设银行陕西省分行

出　　处：《南开管理评论》2007年第5期94-99,共6页Nankai Business Review

基　　金：国家自然科学基金(70772110);西安交通大学"985"二期工程项目(07200701)阶段性成果

摘　　要：本文运用多元线性回归模型对2001年5月15日至2005年6月7日在深沪两市上市的288只A股新股,就IPO效率影响因素进行了实证研究。研究引入了一个新的解释变量——市场气氛,将深沪两市市场气氛衡量指标予以统一。结果发现:发行价、市场气氛、上市首日换手率、资产规模等变量均表现出极强的显著性。IPO efficiency is the reflection of the difference between IPO issue price and the first day closing price, the less the difference, the higher the IPO efficiency degree. IPO underpricing is the phenomenon that the IPO issue price is significantly lower than the first day closing price. So the investors can immediately make an extra profit at the first day when IPO come into the market. The significant IPO underpricing is the direct reflection oflPO inefficiency. Theoretically, this phenomenon shouldn＇t exist if the stock issue price is decided by the demand of secondary market. But empirical studies show IPO underpricing is long-standing in the worldwide stock market, especially in Chinese ＂A＂ stock market. The existence of IPO underpricing distorts IPO efficiency, and accordingly affects the function of IPO market. The results of the study on this issue can play a positive role in promoting the development of Chinese stock market. In this article, the primary data source for IPO of Shen Zhen and Shang Hai ‘A＇ stock market are from May, 15th 2001 to June, 7th 2005, the sample size is 288 firms. The Multiple Linear Regression model is used to measure the influencing factors of IPO efficiency based on the analysis of relevant theories. In this study, a new dependent variable is constructed to examine the effect of stock market atmosphere, which unifies Shanghai mega-issue share index with Shen Zhen＇. The empirical study results show some dependent variables represent significant correlation to the IPO under pricing rate, such as issue price, market atmosphere, and the first-day turnover rate, assets size, etc. The positive correlation between first-day turnover and IPO underpricing tend to support the notion of speculative bubble hypothesis in Chinese ＇A＇ stock market. The dependent variable： market atmosphere showing positive significant correlation to the IPO underpricing rate indicates non-rational activity is severe in Chinese a stock market.

关 键 词：IPO IPO抑价 IPO效率 市场气氛 

分 类 号：F832.51[经济管理—金融学]