基于随机前沿生产模型的IPO抑价分解与滞后效应研究

Study of IPO Under-pricing Decomposition Based on Stochastic Frontier Production Model and Its Lag Effect

中文关键词:  IPO抑价  随机前沿生产模型  滞后效应  GARCH模型

英文关键词:IPO under-pricing  stochastic frontier production model  lag effect  GARCH model

中文摘要:

      为了探究我国A股市场IPO抑价现象的原因,在随机前沿生产模型的基础上对IPO抑价进行了分解,得到IPO发行价格的边界值。实证结果表明,IPO定价效率为99.14%,证实了样本期间的发行人故意抑价行为,但并不显著。进一步对二级市场进行研究,构建得到GARCH(1,1)是IPO首日抑价率的最优拟合,证实了新股抑价滞后效应的存在性。最后,根据新股发行改革时间点划分样本区间,得到了滞后性逐渐减弱的实证结论,这对IPO发行制度向市场化的注册制改革方向提供了支持。 

英文摘要:

      In order to explore the reason for IPO under-pricing in China's A share market, this paper decomposed IPO under-pricing on the basis of stochastic frontier production model and got the boundary value of the IPO price. The empirical research findings show that the IPO pricing efficiency is 99.14%, which proves the existence of the deliberately under-pricing behavior by issuer during the samples, but such behaviors are not obvious. Then the research studied the secondary market, and found that the GARCH(1,1) is the optimal fitting of the first day IPO underpricing rate, and proved the existence of the lag effect of new share under-pricing. Finally, this paper divided the sample intervals based on time for reforming the issue of new share and found the lag effect had become gradually weaker, which supports the reform of IPO issuing system in the direction of market-driven registration system. 