中国IPO市场存在承销商托市吗

Does Aftermarket Price Support Exist in China's IPO Markets?

本文采用修正后的Ruud(1993)收益率分布检验法对中国A股市场上IPO股票上市后短期收益率分布进行了检验。考虑抑价极大值会使样本收益率分布明显右偏,本文运用剔除抑价极大值后的样本对不同定价机制下的IPO后市短期收益率分布进行了正态性检验。我们发现,IPO股票上市后的短期收益率分布不能拒绝正态分布的零假设。这说明中国IPO市场不存在明显的承销商托市,目前高抑价的原因不能用承销商托市行为来解释。

This article tests the distributions of the aftermarket market- adjusted returns in China＇s IPO markets based on the developed Ruud （1993） pricing model. After removing some IPOs with the marketadjusted initial returns excess 300%, we use normality test to examine above distributions in different pricing mechanisms. We find all distributions are not rejected at 5 % significant level. In other words, the distributions don＇t skew to right significantly. This suggests that no aftermarket price support exist in China＇ s IPO markets.