摘要
本文以2009年10月30日在创业板上市的28只股票为研究对象,以网上发行中签率、首日换手率、网下发行中签率、首日交易金额等作为投资者情绪的衡量变量,通过检验投资者情绪与创业板上市股票初始收益的关系,发现投资者情绪变量中只有网上发行中签率与首日初始收益高度相关。通过构建投资者情绪与首日初始收益的回归模型,进行回归分析得出在创业板上市的股票其首日初始收益主要受投资者情绪的影响,在此基础上提出关于在创业板进行投资的建议。
The 28 stocks which listed on the GEM on October 30, 2009 are used as the research object with online ballot results, turnover of first day, success rate under the net, trading volume as a measure of investor sentiment varia- ble. By examining the correlation ship of the investor sentiment and initial returns, we find only online ballot results are highly correlated with the initial returns of the first day. By constructing a regression model between initial returns and in- vestor sentiments, making linear regression analysis, we find that initial returns are mainly affected by the investor senti- ments, then the recommendations of investment on the GEM are put forward on this basis.
出处
《经济与管理研究》
CSSCI
北大核心
2010年第8期112-116,共5页
Research on Economics and Management
基金
中国矿业大学项目"大学生实践创新训练"(矿教科研2009-131号)的阶段成果
