创业板IPO股票的价格行为分析——基于有效市场假说的实证检验

The Analysis on the Behavior of IPO Pricing in GEM ——Based on the Positive Test of the EHM

本文以2009年10月-2012年9月间创业板首批28家上市公司的数据为研究样本,采用事件研究法和修正的F-O模型,基于有效市场假说对创业板IPO股票的价格行为进行了实证检验。结果发现:创业板IPO股票在上市后36个月内存在明显的弱势现象,新股发行定价偏高是导致长期弱势的主要原因,这表明创业板一级市场和二级市场的定价效率偏低。本文的研究结论对于提高我国创业板市场的IPO定价效率具有重要的理论价值和现实意义。

This paper chose the data of first 28 listed companies in Growth Enterprise Market （GEM） in 2009.10-2012.9 as samples, selected the event study method and modified F-O model to positive study the analysis on the behavior of IPO pricing in GEM based on the EHM. The results found that there was a dramatic long-run under performance of new shares in GEM during the 36 months after IPO, which can be due to higher IPO pricing. These results indicated that the pricing efficient of primary market and secondary market was poor. The conclusions of this paper had important theoretical value and practical significance on improving IPO pricing efficiency in GEM.