投资者情绪、新股申购资金冻结与股价波动

Investor Sentiment,IPO Funds Frozen and Stock Volatility

2006—2015年,我国证券市场开始允许个人投资者网上申购,但是申购资金会在短期内冻结大约一周左右的时间。在新股申购资金冻结制度背景下,个人投资者进行申购时,会在短时间内冻结大量资金并在一周的时间内得到释放。这在短期内会对市场流动性产生冲击。笔者研究新股网上申购资金冻结制度对市场稳定性的影响。研究发现,这种短时间内的大量资金冻结与释放,会加剧当月股价的波动性并且增加了当月股价的振幅以及跳跃风险。其次我们还发现,冻结资金加剧股价波动性的现象,受到投资者情绪的影响,在投资者情绪较为乐观时,其对股价波动性的影响更为强烈。最后,我们发现高市盈率的股票以及低市值类的股票受到新股申购资金冻结的冲击作用更为强烈。

2006—2015,individual investor in China are allowed to subscribe IPO stocks online,but the investor＇s subscription fund are required to be frozen in a short time of one week. Investors＇ fund for IPOs subscription should be frozen and unfrozen within one week of the subscription process,under this financial institution background. It has a short-term impact on the securities market liquidity. This study tries to examine the impact of such fund freeze system on market stability. We find that the frozen fund is significantly positively associated with stock market volatility. Moreover,we find that the positive effect of frozen fund on market volatility is more pronounced when investor sentiment is high. At last,we find that influence of frozen fund is stronger for higher PE stock and lower market value stock.