经济问题
經濟問題
경제문제
On Economic Problems
2013年
2期
46~52
,共null页
VAR 市场投机 新股申购 投资收益
VAR 市場投機 新股申購 投資收益
VAR 시장투궤 신고신구 투자수익
VAR; stock market speculation; the purchase of new shares; returns
2012年5月新股发行制度改革取消了网下申购新股的限售期，新股申购投资收益水平具体化为新股首日收益率。选取新股首日收益率和代表性股指为市场投机因素的描述变量，以VAR模型反映二者间的动态联系，研究了市场投机因素对新股申购投资收益的影响规律。结论表明：新股首日收益率是市场投机情绪的反映，本期新股首日收益率能在较大程度上被前一期新股首日收益率所解释和预测，二级市场的变化对新股首日收益率的直接影响较弱，但可以引起其波动趋势较长时间的反复震荡；中小板新股和创业板新股的首日收益不同之处在于创业板新股与二级市场的强弱联系更为紧密，在两个板面新股对一级市场投机因素的敏感程度相差不大的情况下，这意味着创业板新股具有更强的投机性；脉冲响应函数可以进一步量化变量间扰动影响的数量关系，并且从脉冲响应的时间来看，市场投机因素对新股申购投资收益率的作用时间大致为12周。
2012年5月新股髮行製度改革取消瞭網下申購新股的限售期，新股申購投資收益水平具體化為新股首日收益率。選取新股首日收益率和代錶性股指為市場投機因素的描述變量，以VAR模型反映二者間的動態聯繫，研究瞭市場投機因素對新股申購投資收益的影響規律。結論錶明：新股首日收益率是市場投機情緒的反映，本期新股首日收益率能在較大程度上被前一期新股首日收益率所解釋和預測，二級市場的變化對新股首日收益率的直接影響較弱，但可以引起其波動趨勢較長時間的反複震盪；中小闆新股和創業闆新股的首日收益不同之處在于創業闆新股與二級市場的彊弱聯繫更為緊密，在兩箇闆麵新股對一級市場投機因素的敏感程度相差不大的情況下，這意味著創業闆新股具有更彊的投機性；脈遲響應函數可以進一步量化變量間擾動影響的數量關繫，併且從脈遲響應的時間來看，市場投機因素對新股申購投資收益率的作用時間大緻為12週。
2012년5월신고발행제도개혁취소료망하신구신고적한수기，신고신구투자수익수평구체화위신고수일수익솔。선취신고수일수익솔화대표성고지위시장투궤인소적묘술변량，이VAR모형반영이자간적동태련계，연구료시장투궤인소대신고신구투자수익적영향규률。결론표명：신고수일수익솔시시장투궤정서적반영，본기신고수일수익솔능재교대정도상피전일기신고수일수익솔소해석화예측，이급시장적변화대신고수일수익솔적직접영향교약，단가이인기기파동추세교장시간적반복진탕；중소판신고화창업판신고적수일수익불동지처재우창업판신고여이급시장적강약련계경위긴밀，재량개판면신고대일급시장투궤인소적민감정도상차불대적정황하，저의미착창업판신고구유경강적투궤성；맥충향응함수가이진일보양화변량간우동영향적수량관계，병차종맥충향응적시간래간，시장투궤인소대신고신구투자수익솔적작용시간대치위12주。
The regulation of three - months restricted period of new shares sale under the net was canceled after the the IPO reform in May 2012, so that the returns of new shares investment could be considered as its first - day revenue. This paper analyzed the law of market speculation affecting to the new shares returns, with describing speculation by the first - day returns of initial public offering and corresponding stock index, and VAR model explo- ring dynamic relationships between the two ones. The results are as follows ： new shares first - day returns reflects the mood of market speculation and could be explained by delayed changes in yield to a great extent. Change in secondary market has direct effect of weak, but it could cause long time fluctuation trend. The difference between small plates IPO and GEM IPO lies in that GEM IPO has more closely secondary market sensitivity, since little difference the two market boards on primary market speculation, which means that GEM IPO are more speculative. Impulse response function further explored quantifying the disturbing effect in variables and the impulse response time in which market speculation may play role in the returns of new shares investment is approximately 12 weeks.
