多元偏t-Copula模型下新股发行制度与IPO抑价研究——基于主板、中小板和创业板的实证分析  

Study on the IPO System and Underpricing under Multivariate Skewed Student's t Copula Model:Empirical Analysis Based on the Main Board,SME Board and GEM

作　　者：胡志强[1] 赵美娟[1] 

机构地区：[1]武汉大学经济与管理学院

出　　处：《经济评论》2016年第3期148-160,共13页Economic Review

基　　金：国家自然科学基金项目"多主体交互作用下基于随机微分博弈的IPO决策机理研究"(项目编号:71471142);国家自然科学基金项目"基于在线机器学习的组合算法交易策略研究"(项目编号:71401128);教育部哲学社会科学重大课题攻关项目"欧美国家债务危机对我国的影响及对策研究"(项目编号:12JZD029);武汉大学自主科研项目(人文社会科学)"人民币国际化及其风险管理"的阶段性成果;中央高校基本科研业务费专项资金资助

摘　　要：本文基于1990-2015年A股上市公司数据,以市盈率差动衡量新股发行制度变化,运用偏t-Copula函数分析新股发行制度对IPO抑价程度的影响。研究结果表明:新股发行制度改革前期,市盈率差动对IPO抑价具有显著影响,随着市盈率差动变大,IPO抑价程度逐渐下降;新股发行制度改革后期,市盈率差动对IPO抑价的影响程度逐渐减弱,说明新股发行制度市场化改革渐显成效。进一步按发行制度变化划分区间,对中国主板、中小板和创业板市场的抑价程度进行系统的比较,发现创业板的抑价程度显著地低于主板市场与中小板市场,创业板新股抑价率在最新一期低至17.20%,逐步与国外成熟市场抑价率接轨。本文研究为进一步推进股票发行注册制改革,加快多层次资本市场建设提供了理论参考。This paper examines the influence of the IPO system reform on the degree of IPO underpricing with multivariate skewed student ＇s t copula model,which is based on the P / E differential and the data of listed companies in the a-share market from 1990 to 2015.Empirical results indicate that there have been some successes in China＇s market-oriented reforms of stock issuing and listing system with reduced IPO underpricing as the P/E differential bigger.What＇s more,this paper systematically compares the degree of IPO underpricing of Main Board,SME Board and GEM in several intervals divided by IPO reforms.The result shows that the degree of IPO underpricing in the GEM is generally lower than other two,and the underpricing rate of the GEM reached 17.20% in the latest interval,which gradually decreases the gap with foreign mature markets.This paper provides theoretical results to further promote the reform of stock issuance of registration system and speed up the construction of capital market of multiple levels.

关 键 词：新股发行制度 IPO抑价 市盈率差动 偏t-Copula函数 

分 类 号：F832.51[经济管理—金融学]