市场流动性有限与IPO抑价现象

Limited Market Liquidity and IPO Under-pricing Phenomenon

本文从流动性有限的角度出发,结合行为金融的研究方法,对不同流动性水平下的IPO抑价过程进行了分析,得出市场成交意愿、投机气氛、个股风险因子以及强制持仓限制对IPO抑价会产生关键影响,并通过实证对上述观点进行了检验,证明了流动性相关变量对IPO抑价水平具有显著的解释效力、因此本文提出IPO抑价是由于不同投资音承担风险差异化的结果,因而在解决这一问题时应主要从加强市场基础建设的角度出发。

This paper starts from the perspective of limited liquidity and employs the research method of behavioral finance to analyze the IPO under-pricing process under different levels of liquidity. It finds that the willingness of transaction, the atmosphere of speculation, the risk factors of individual stocks and the minimum holding-term requirement have a pivotal influence on IPO under-pricing, the viewpoint of which is tested by empirical evidence to prove that the liquidity-related variants have obvious illustrative effect on IPO under-pricing level. Therefore, this paper asserts that the IPO under-pricing is the aftermath Of difference among investors to take on risks and the market infrastructure should be enhanced to solve the problem.