投资者情绪、新股超募的交互作用对IPO抑价的影响——基于创业板市场的数据研究

The Influence of Interaction between Investor Sentiment and Oversubscription on IPO Underpricing——Based on Data from GEM Market

本文基于主成分分析构建投资者情绪综合指数,运用2009-2018年创业板上市公司发行的691家企业数据研究了投资者情绪、新股超募对IPO抑价的影响。研究发现:投资者情绪越高,越容易引发新股超募;投资者的盲目自信会造成股价抬高,造成更严重的IPO抑价;投资者情绪和新股超募对IPO抑价有正向影响。建议政府制定相关政策维护投资者的利益,引导投资人理性投资,使股价回归理性,降低IPO抑价,促进创业板市场的健康发展。

Based on the data of 691 enterprises listed on GEM from 2009 to 2018, the authors study the impact of investor sentiment and oversubscription on IPO underpricing by using PCA. The research finds that the higher investor sentiment, the easier it is to cause the new shares oversubscribed. Investors’ blind confidence will raise stock price and intensify IPO underpricing. Investor sentiment and oversubscription of new shares have positive impact on IPO underpricing. The authors suggest that the government should formulate relevant policies to protect the interests of investors, guide investors to invest rationally, make stock prices return to rationality, reduce IPO underpricing and promote the healthy development of GEM.