投资者情绪对中国IPO首日收益率影响的实证分析  

An Empirical Analysis of Investor Sentiment on Initial Return of IPO in China

作　　者：蒋先玲[1] 张斯琪[1] 

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029

出　　处：《经济问题》2015年第6期51-56,共6页On Economic Problems

摘　　要：以2009年1月～2014年3月上证交易数据为样本，利用主成分分析法构建基于中国国情的投资者情绪综合指数（ CICSI ），并采用VAR模型、格兰杰因果关系检验和脉冲响应等方法考查投资者情绪综合指数与中国IPO首日收益率之间的动态关系。结果表明，投资者情绪对IPO首日收益率有显著的正向影响；同时，IPO首日收益率的波动也会对投资者情绪波动有显著的冲击，但产生的影响在时间上会相对滞后。实证分析结果有助于了解投资者的行为特征、决策的过程及影响机制，对于投资者的管理与引导、定价效率的提高、相关机制的完善具有现实意义。The paper selects transaction data in Shanghai Stock Exchange from January 2009 to March 2014 and builds the investor composite sentiment index in Chinese stock market （ CICSI） by the method of principal compo-nent analysis.Then the paper establishes VAR model to analyze the dynamic relation ship between composite index of investor sentiment and the initial return of IPO by means of Granger causality test and impulse response function analysis.The results show that investor sentiment can produces a significant positive impact on the initial return of IPO.At the same time,the fluctuations of initial return of IPO can also have a great effect on investor sentiment, though this impact will be lagging behind.The results can contribute to a better comprehension of investor behavior characteristics, decision making process and influencing mechanism.It can also have the practical significance in government guidance, the advancement of pricing efficiency as well as the perfection of mechanism in Chinese stock market.

关 键 词：投资者情绪 IPO首日收益率 主成分分析 VAR模型 脉冲响应函数 

分 类 号：F830.91[经济管理—金融学]