CAJ | 학술논문

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。
위료탐구아국A고시장IPO억개현상적원인，재수궤전연생산모형적기출상대IPO억개진행료분해，득도IPO발행개격적변계치。실증결과표명，IPO정개효솔위99．14％，증실료양본기간적발행인고의억개행위，단병불현저。진일보대이급시장진행연구，구건득도GARCH（1，1）시IPO수일억개솔적최우의합，증실료신고억개체후효응적존재성。최후，근거신고발행개혁시간점화분양본구간，득도료체후성축점감약적실증결론，저대IPO발행제도향시장화적주책제개혁방향제공료지지。
In order to explore the reason for IPO under-priclng in China~ A share market, this paper decomposed IPO un- der-pricing on the basis of stochastic frontier production model and got the boundary value of the IPO price. The empirical re- search findings show that the IPO pricing efficiency is 99.14% , which proves the existenee of the deliberately under-pricing be- havior 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.