CAJ | 학술논문

本文使用1993年至2008年数据证实中国IPO市场存在显著的周期性。在政府对企业发行上市具有控制能力的背景下,我们通过分析政府在过度乐观的投资者情绪约束条件下的优化行为来解释周期形成机制。由于政府＂运动员＂和＂裁判员＂的双重身份,它实际对新股上市初期的价格负有隐性担保责任,为了维护声誉,面对过度乐观的市场情绪,政府倾向于按其认定的价值核准新股定价,发行价格并不能充分反映基于情绪的市场需求,但这种需求将立即反映在上市初期的交易价格中,这意味着IPO上市初期收益率的波动主要反映的是市场情绪的周期性波动;但情绪对市场指数形成冲击,在市场缺乏自我平衡能力的条件下,政府又将IPO数量作为调控市场指数、平衡情绪冲击的工具之一,结果形成了IPO数量的周期性波动。进一步的实证分析支持上述理论假说。
본문사용1993년지2008년수거증실중국IPO시장존재현저적주기성。재정부대기업발행상시구유공제능력적배경하,아문통과분석정부재과도악관적투자자정서약속조건하적우화행위래해석주기형성궤제。유우정부＂운동원＂화＂재판원＂적쌍중신빈,타실제대신고상시초기적개격부유은성담보책임,위료유호성예,면대과도악관적시장정서,정부경향우안기인정적개치핵준신고정개,발행개격병불능충분반영기우정서적시장수구,단저충수구장립즉반영재상시초기적교역개격중,저의미착IPO상시초기수익솔적파동주요반영적시시장정서적주기성파동;단정서대시장지수형성충격,재시장결핍자아평형능력적조건하,정부우장IPO수량작위조공시장지수、평형정서충격적공구지일,결과형성료IPO수량적주기성파동。진일보적실증분석지지상술이론가설。
Using the data from 1993 to 2008,this paper verifies that there exists significant cycles in IPO market of China.In the circumstance that IPO process is under the control of government,we try to explain IPO cycles by solving the maximization problem constrained by over - optimistic investor sentiment faced by government. Subject to the dual characters of player and referee in market,government takes the implicit responsibility to support the initial trading prices of IPOs.To maintain its reputation and credibility,government inclines to price the IPOs according to their values in spite of the over - optimistic sentiment around the market As a result, the IPO issue price can not incorporate this sentiment - based demand,which will be reflected in the aftermarket price at once.So it implies that the variation of IPO initial return is mainly driven by the sentiment However,sentiment will shock the stock index,in the absence of market self- stabilization mechanism,government uses the IPO volume as one of the policy tools to offset the sentiment effect on stock index,which leads to the fluctuation of IPO volume.Further empirical study supports the above theoretical hypothesis.