股票供给控制、需求曲线与股价的反应——基于创业板的经验数据  

Control on supply of shares,demand curves and the reaction of stock price-Based on the data of Chinext

作　　者：孙会霞[1] 苏峻[2] 何佳[3] 

机构地区：[1]清华大学经济管理学院,北京100084 [2]北京工商大学商学院,北京100048 [3]香港中文大学商学院

出　　处：《系统工程理论与实践》2013年第1期1-11,共11页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71102118);2012年度北京市留学人员科技活动择优资助项目;北京市教委科研基地-会计与投资者保护研究基地;北京市属高等学校科学技术与研究生教育创新工程建设项目(PXM2012_014213_000064);北京工商大学中国创业投资研究中心资助

摘　　要：股票供给是否会影响股票价格,不仅是投资者所关心的问题,也是监管者在制定政策时需要考虑的重要因素.理论上股票供给对股票价格产生影响的前提是存在倾斜的股票需求曲线,因此对股票需求曲线的实证检验成为回答这一问题的核心所在.实证研究结果显示,我国创业板一级市场的新股需求曲线是向下倾斜的,二级市场的股票需求曲线检验也支持向下倾斜需求曲线的假设.这一结果意味着增加股票供给确实会对一级市场的发行价格和二级市场的交易价格产生一定的影响.因此,无论是金融监管方还是投资者在制定政策或者作出投资决策时都应谨慎地将股票供给和需求对股价的影响考虑进来.Does the supply of shares affect stock price？ It is an important problem not only for investors but also for the financial regulators. Stock supply could affect stock price only when there was a downward- sloping demand curves theoretically. Therefore, an empirical test on the elasticity of stock demand curves is necessary. Based on the institutional bidding data in detail during period of IPO book building, our research shows that demand curve is downward-sloping both on primary market and secondary market, which means that supply of shares will have an effect on the stock price. Therefore, the supply and demand of shares should be taken into account when financial regulators making policies and investors making investment decisions.

关 键 词：股票供给 新股需求曲线 股票需求弹性 股价反应 

分 类 号：F830[经济管理—金融学]