摘要
根据现代证券市场理论 ,利用 VARMA模型研究了中国证券一级市场最近三年的发展及相关证券市场变量对证券一级市场的影响 .发现当前我国的证券一级市场存在着超额报酬率 ,在研究分析的基础上给出我国证券一级市场存在超额报酬率的可能的解释及相应的政策建议 .
Based on the modern securities market theory, this paper analyze the development of the IPO market of China. We do some analysis of the influence of the correlation variables of the securities market on the IPO market's return by using VARMA model. Based on the analysis, we found that there exist under pricing appearance in the past three years in China IPO market. At last, we give some explanatory for the under pricing of the IPO market and several policy suggestions.
出处
《管理科学学报》
CSSCI
2000年第1期45-52,共8页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目 !79790 13 0
