涨跌幅受限放开对科创板IPO抑价影响研究

A Study on the Impact of Price Limits and Deregulation on IPO Underpricing of STAR Market

科创板采用上市后前5个交易日不设涨跌幅限制的交易规则,基于2019年7月22至2020年3月31日包括科创板在内的170个新发行股票,研究涨跌幅受限放开对科创板IPO抑价的影响。通过添加涨跌幅受限虚拟变量和交互项建立多元线性回归模型,并通过因子分析法提取代表公司基本面作为控制变量$实证结果表明,相比新股设置首日涨跌幅限制,科创板IPO抑价有了改善,并且在限制首日涨跌幅情况下,首发募集资金净额对IPO抑价负向作用显著。

Sci-Tech innovation board(STAR Market) adopted the trading rule that there was no price limit in the first five trading days after listing,based on 170 newly issued shares including star market from July 22, 2019 to March 31, 2020, and extracts four indicators on behalf of the company fundamentals through factor analysis, and adds dummy variables and interactive items to make multiple regression to study whether price limits affect IPO underpricing. The empirical results show that the setting of price limits on the first day makes IPO underpricing more serious, and the net IPO proceeds have a significant negative effect on IPO underpricing when the first day price limit is set, and the net IPO proceeds have little effect on IPO underpricing when the first day price limit is not set.