科创板基础性制度改革能否提升市场定价效率?  

Can the Basic System Reform of the STAR Market Improve Market Pricing Efficiency?

作　　者：张宗新[1] 吴钊颖 Zhang Zongxin;Wu Zhaoying

机构地区：[1]复旦大学金融研究院,上海200433 [2]复旦大学经济学院,上海200433

出　　处：《证券市场导报》2021年第4期33-46,共14页Securities Market Herald

基　　金：国家自然科学基金面上项目“基于机器学习算法优化的中国资本市场系统性风险监测、预警与管控研究”(项目编号:72073035);上海国际金融与经济研究院课题项目“利用科创板打造服务全国科创企业投融资服务平台研究”

摘　　要：作为中国资本市场基础性制度改革的创新载体,科创板市场改革能否达到改革预期目标,是当前资本市场热切关注的重要问题。本文基于市场定价效率的视角,对科创板基础性制度改革下的定价机制改革效果进行评估,着重考察询价机制改革和价格限制改革对市场价格发现的影响效应。研究发现,相比主板及创业板市场(试点注册制改革之前),科创板市场定价效率显著提升、价格发现功能显著优化。从具体改革路径来看,询价机制改革更好地实现了发行定价市场化,通过“询价机构报价行为”路径提升了科创板新股发行定价效率,且促进了中长期理性定价;价格限制改革则更好地实现了交易定价市场化,不仅抑制了科创板新股首日溢价程度,也加速了市场日后均衡价格的形成。STAR market is a major innovation in the fundamental reform of China’s capital market,whether its reform can meet the expected goal is an important issue in the current capital market.Based on the perspective of market pricing efficiency,this paper explores the effect of the pricing mechanism reform of the STAR market and focuses on the impact of the inquiry mechanism and the price limit reform on market price discovery.This study found that,compared with the main board market and the GEM market(before the pilot registration system reform),the pricing efficiency and the price discovery function of the STAR market has been significantly improved.From the perspective of the reform path,the reform of the inquiry mechanism has better realized the marketization of issuance pricing.The path of“quotation behavior of inquiry institutions”improves the IPO pricing efficiency and medium-and long-term pricing rationality of the STAR market.Moreover,the price limit reform has better realized the marketization of transaction pricing,which not only reduces the first-day premiums of new shares in the STAR market,but also accelerates the formation of market equilibrium prices.

关 键 词：定价效率 询价机制 价格限制 注册制 科创板 

分 类 号：F832.5[经济管理—金融学]