上市公司IPO抑价的长短期股票波动效应——基于投资者情绪的中介分析  

The Long-term and Short-term Stock Volatility Effects of Listed Companies’IPO Underpricing——Intermediary Analysis Based on Investor Sentiment

作　　者：朱东炬 刘明显 ZHU Dongju;LIU Mingxian(College of Big Data Application and Economics,Guizhou University of Finance and Economics,Guiyang,Guizhou Province,550025 China)

机构地区：[1]贵州财经大学大数据应用与经济学院,贵州贵阳550025

出　　处：《科技资讯》2021年第33期128-131,共4页Science & Technology Information

摘　　要：该文基于沪深两市2014—2017年上市公司365个交易日数据为研究样本,实证考察了IPO抑价对股票波动的影响效应及作用机制。研究发现:短期来看,IPO抑价抑制了股票波动,但长期显示,IPO抑价显著提高了股票波动;承销商声誉短期内提升了IPO抑价对股价波动的抑制效应,长期没有影响;机构持股比率短期没有影响,长期助推了IPO抑价对股票波动的正向效应。路径分析表明,IPO抑价的股票波动效应传导路径以投资者情绪为中介变量。Based on the data of 365 trading days of listed companies in Shanghai and Shenzhen stock markets from2014-2017,this article empirically investigates the impact effect and mechanism of IPO underpricing on stock volatility.The study found that IPO underpricing suppresses stock volatility in the short term,but IPO underpricing significantly improves stock volatility in the long term;The underwriter’s reputation improves the inhibitory effect of IPO underpricing on stock price fluctuation in the short term,but has no effect in the long term;The institutional shareholding ratio has no effect in the short term,which promotes the positive effect of IPO underpricing on stock volatility in the long term.Path analysis shows that the transmission path of stock volatility effect of IPO underpricing takes investor sentiment as the intermediary variable.

关 键 词：IPO抑价 投资者情绪 股票波动效应 承销商声誉 机构持股比率 

分 类 号：F832[经济管理—金融学]