CAJ | 학술논문

本文基于投资者情绪理论，针对我国股票二级市场上有限理性的投资者参与IPO交易的特征之一是参考上期IPO抑价程度，其呈现出序列相关性，因而采用GARCH模型来描述IPO抑价的滞后效应。研究的结论是，IPO抑价存在滞后效应，拟合效果最优的GARCH（1，2）模型表明，第t期IPO抑价水平的波动性与第t-1期IPO抑价水平的波动性之间存在显著的正相关，与第t一2期则出现了显著的负相关，并且IPO抑价率波动之间也高相关。
본문기우투자자정서이론，침대아국고표이급시장상유한이성적투자자삼여IPO교역적특정지일시삼고상기IPO억개정도，기정현출서렬상관성，인이채용GARCH모형래묘술IPO억개적체후효응。연구적결론시，IPO억개존재체후효응，의합효과최우적GARCH（1，2）모형표명，제t기IPO억개수평적파동성여제t-1기IPO억개수평적파동성지간존재현저적정상관，여제t일2기칙출현료현저적부상관，병차IPO억개솔파동지간야고상관。
Based on investor sentiment study, as to finite rational investors on second market, one feature they participate in IPO transaction is to refer last IPO under-pricing extent, and present serial relativity, thus to use GARCH model to describe lag effect of IPO under-pricing on second market. The conclusion is： there is lag effect in second market, GARCH（1,2） model with best fit effect shows that, there is significant positive correlativity relation between the IPO under-pricing level＇ s volatility of listed company at t and t-1, but negative correlativity relation at t and t-2, and IPO under-pricing rate volatility is highly relevant with that.