IPO抑价的滞后效应:来自中国市场的实证研究  

Lag Effect of IPO under-pricing:Empirical Study on Chinese Stock Market

作　　者：邱冬阳[1] 熊维勤[2] 皮星[3] 

机构地区：[1]重庆理工大学经贸学院,重庆400054 [2]重庆工商大学经贸学院,重庆400067 [3]第三军医大学人文学院,重庆400038

出　　处：《预测》2012年第5期58-63,共6页Forecasting

基　　金：国家社会科学基金资助项目(10BJL020);重庆市第二批高等学校优秀人才资助计划项目

摘　　要：本文基于投资者情绪理论,针对我国股票二级市场上有限理性的投资者参与IPO交易的特征之一是参考上期IPO抑价程度,其呈现出序列相关性,因而采用GARCH模型来描述IPO抑价的滞后效应。研究的结论是,IPO抑价存在滞后效应,拟合效果最优的GARCH(1,2)模型表明,第t期IPO抑价水平的波动性与第t-1期IPO抑价水平的波动性之间存在显著的正相关,与第t-2期则出现了显著的负相关,并且IPO抑价率波动之间也高相关。Based on investor sentiment study, as to finite rational investors on second market, one feature they participate in IPO transaction is to refer last IPO under-pricing extent, and present serial relativity, thus to use GARCH model to describe lag effect of IPO under-pricing on second market. The conclusion is： there is lag effect in second market, GARCH（1,2） model with best fit effect shows that, there is significant positive correlativity relation between the IPO under-pricing level＇ s volatility of listed company at t and t-1, but negative correlativity relation at t and t-2, and IPO under-pricing rate volatility is highly relevant with that.

关 键 词：IPO抑价 滞后效应 GARCH模型 

分 类 号：F830.91[经济管理—金融学]