以市场气氛假说检验全流通时期A股IPO抑价现象的实证分析

An Empirical Study of Market Climate Hypothesis and IPO Under-pricing in Full Circulation Period

市场气氛假说认为市场状态和二级市场投资者的投机是造成新股抑价的重要因素,且新股上市首日抑价率与市场气氛之间呈现正相关关系。以市场气氛假说对全流通时期A股206支IPO新股抑价程度进行实证分析,发现在市场指数上涨期间,上市首日换手率、上市首日股指收益率、上市当周股指收益率为影响IPO抑价的显著变量,且具有与假设相符的正相关关系,表明市场气氛假说可以说明A股全流通时期的IPO首日抑价现象。

This empirical study uses 206 IPOs cases in full circulation period, during June 19,2006 and March 10, 2008, to apply the market climate hypothesis to test IPO under - pricing phenomenon in A stock shares market. Under the condition of market index rising, we find that the first day turnover rate, the first day market profit ratio and the weekly market profit ratio represent the significant and positive correlation to the IPO under - pricing rate. The result supports the notior~ of market climate hypothesis in IPO under - pricing phenomenon of A stock shares market.