基于VAR的市场投机对新股申购投资收益的影响分析

Stock Market Speculation and New Shares Returns Research on VAR Model

2012年5月新股发行制度改革取消了网下申购新股的限售期,新股申购投资收益水平具体化为新股首日收益率。选取新股首日收益率和代表性股指为市场投机因素的描述变量,以VAR模型反映二者间的动态联系,研究了市场投机因素对新股申购投资收益的影响规律。结论表明:新股首日收益率是市场投机情绪的反映,本期新股首日收益率能在较大程度上被前一期新股首日收益率所解释和预测,二级市场的变化对新股首日收益率的直接影响较弱,但可以引起其波动趋势较长时间的反复震荡;中小板新股和创业板新股的首日收益不同之处在于创业板新股与二级市场的强弱联系更为紧密,在两个板面新股对一级市场投机因素的敏感程度相差不大的情况下,这意味着创业板新股具有更强的投机性;脉冲响应函数可以进一步量化变量间扰动影响的数量关系,并且从脉冲响应的时间来看,市场投机因素对新股申购投资收益率的作用时间大致为12周。

The regulation of three - months restricted period of new shares sale under the net was canceled after the the IPO reform in May 2012, so that the returns of new shares investment could be considered as its first - day revenue. This paper analyzed the law of market speculation affecting to the new shares returns, with describing speculation by the first - day returns of initial public offering and corresponding stock index, and VAR model explo- ring dynamic relationships between the two ones. The results are as follows ： new shares first - day returns reflects the mood of market speculation and could be explained by delayed changes in yield to a great extent. Change in secondary market has direct effect of weak, but it could cause long time fluctuation trend. The difference between small plates IPO and GEM IPO lies in that GEM IPO has more closely secondary market sensitivity, since little difference the two market boards on primary market speculation, which means that GEM IPO are more speculative. Impulse response function further explored quantifying the disturbing effect in variables and the impulse response time in which market speculation may play role in the returns of new shares investment is approximately 12 weeks.