次新股价格异象实证研究

The Empirical Research about The Price Anomalies of Secondary Shares

本文研究了次新股价格的反转和惯性效应,尤其是取消申购预缴款制度后,次新股成了市场的稀缺板块,表现出高波动性、高收益性的特征。我们发现次新股价格的大幅波动由游资造成,游资的策略是在次新股打开涨停当日买入,次日卖出,未涨停事件吸引了投资者的关注,而散户与游资的交易行为是截然相反的。数据分析结果表明在超短期内次新股存在显著的惯性效应,短期内存在显著的反转效应,中期内存在显著的惯性效应。本文同时也为监管层了解非理性投资行为的驱动因素和形成机制提供了一定依据和路径,为证券市场的平稳发展提供理论依据。

This paper investigates the momentum effect and reversal effect of new shares, especiallyafter the government cancells the policy that the investors must make an advance payment before purchasing new shares, the plate of secondary new shares becomes scarce,it exhibits two characteristics：high reurns,high volumes.We find that the investing behavior of the hot money causes high volatility of new shares,the hot money prefers to buy shares in the first day and sell them next day,we show the events that those price not hitting the limit attract investors＇ attention, the behavior of retail private investors are opposite to the hot money.The results show that there are significant momentum effects in the super short term, and there are significant reversal effects in the short term, there are significant momentum effects in the intermediate-horizon term. These researh results provide a new theory for regulators to understand the driver factors and fomation mechanism of irrational investment behavior,and also establish theoretical basisfor the development of securities market.