IPO抑价存在星期效应吗?——基于深圳创业板的实证

Is There a Day-of-Week Effect in IPO Underpricing:Empirical Study on Shenzhen Chinext Market

用股票二级市场普遍存在的星期效应理论来研究IPO问题,以深交所创业板2009年6月到2012年10月间的IPO为对象,采用OLS和GARCH对含有虚拟变量的模型进行实证,检验IPO抑价水平在一周内的差异,即IPO的星期效应。研究结果表明:创业板市场IPO抑价存在显著的正的周五效应、负的周二效应,基于此,提出了相关的对策建议。

This paper investigated the IPO issues using the theories of the days-of-the-week effect that prevalent in the secondary market,using the data of the IPO of ChiNext during the period from June 2009 to October 2012,applying ordinary least square（ OLS）as well as Generalized Autoregressive Conditional Heteroskedasticity（ GARCH）models which contains dummy variables to do empirical analysis to verify the differences of the IPO underpricing of each day in one week,that is the day-of-the-week effect in IPO underpricing. The results suggest that there is significantly positive total return on Fridays and negative return on Tuesdays. According to the conclusion,we gave some proposals.