重庆理工大学学报：社会科学版
重慶理工大學學報：社會科學版
중경리공대학학보：사회과학판
Journal of Chongqing Institute of Technology
2015年
5期
38~46
,共null页
IPO 抑价 星期效应 GARCH模型
IPO 抑價 星期效應 GARCH模型
IPO 억개 성기효응 GARCH모형
IPO ; underpricing; day-of-the-week effect ; GARCH model
用股票二级市场普遍存在的星期效应理论来研究IPO问题,以深交所创业板2009年6月到2012年10月间的IPO为对象,采用OLS和GARCH对含有虚拟变量的模型进行实证,检验IPO抑价水平在一周内的差异,即IPO的星期效应。研究结果表明：创业板市场IPO抑价存在显著的正的周五效应、负的周二效应,基于此,提出了相关的对策建议。
用股票二級市場普遍存在的星期效應理論來研究IPO問題,以深交所創業闆2009年6月到2012年10月間的IPO為對象,採用OLS和GARCH對含有虛擬變量的模型進行實證,檢驗IPO抑價水平在一週內的差異,即IPO的星期效應。研究結果錶明：創業闆市場IPO抑價存在顯著的正的週五效應、負的週二效應,基于此,提齣瞭相關的對策建議。
용고표이급시장보편존재적성기효응이론래연구IPO문제,이심교소창업판2009년6월도2012년10월간적IPO위대상,채용OLS화GARCH대함유허의변량적모형진행실증,검험IPO억개수평재일주내적차이,즉IPO적성기효응。연구결과표명：창업판시장IPO억개존재현저적정적주오효응、부적주이효응,기우차,제출료상관적대책건의。
This paper investigated the IPO issues using the theories of the days-of-the-week effect that prevalent in the secondary market,using the data of the IPO of ChiNext during the period from June 2009 to October 2012,applying ordinary least square（ OLS）as well as Generalized Autoregressive Conditional Heteroskedasticity（ GARCH）models which contains dummy variables to do empirical analysis to verify the differences of the IPO underpricing of each day in one week,that is the day-of-the-week effect in IPO underpricing. The results suggest that there is significantly positive total return on Fridays and negative return on Tuesdays. According to the conclusion,we gave some proposals.
