基于小波分析方法的市场环境对新股发行回报率影响的实证研究

An Empirical Investigation of the Influences of Market Climate on IPO's Initial Return Using Wavelet Methods

本文采用小波变换的方法,扩展了以往文献中对市场环境因素机械化的处理。我们发现股票上市前期市场环境的变化对于其初始回报率有着显著的影响,并且不同时间尺度上以及股票市场发展的不同时段中,这种变动的影响都是不同的。

This paper applies the wavelet method to extending previous mechanical techniques when dealing with the whole market condition. We find out that the changes of market condition exert sig- nificant influences on IPO＇s initial return, which vary from one time scale to another and from different development stages of stock market.