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论文编号：	6453
作者编号：	2120122549
上传时间：	2014/6/10 21:19:09
中文题目：	中国投资者情绪和创业板新股破发实证研究
英文题目：	Impacts of investor sentiment on the new shares break in GEM
指导老师：	姚颐
中文关键字：	创业板；破发；投资者情绪；IPO抑价
英文关键字：	GEM;IPO demp;Investor sentiment;IPO underpricing
中文摘要：	我国证券市场自建立以来，上市新股申购一度被认为是几乎不存在风险的安全投资地带，学术界也对此进行过很多理论研究。但，2010年以来，我国A股市场呈现出大面积新股上市首日即破发的新现象，创业板市场也于2011年迎来了“破发潮”，这些证券市场出现的新现象很难用传统金融学的相关理论加以解释。我国创业板市场正处于发展初期，市场波动较大，投机氛围浓重，其发展过程中出现的问题更加值得关注和研究。本文以创业板市场为研究背景，重点讨论市场和公司两个层面投资者情绪对创业板破发的影响。本文选取2010年6月1日——2014年1月31日在创业板上市的289家公司为研究样本，将全部样本分为破发组和抑价组，通过回归分析，验证了市场层面投资者情绪可以在很大程度上解释创业板IPO破发现象，市场层面投资者普遍投资热情低落，看弱大盘走势时，新股破发的概率会大大增加，破发股票的破发程度也会增大。但是，公司层面一级市场投资者投资热情与上市新股的破发概率和破发程度不存在显著的相关关系。 文章首先介绍研究背景、研究意义、研究框架，然后对国内外有关IPO首日异常收益率和投资者情绪的文献进行了回顾梳理，接着结合相关理论提出了本文的研究假设，并通过实证模型检验了两个层面投资者情绪对新股破发影响的相关假设，最后给出本文的结论和建议。 通过本文的研究，有效的解释了创业板投资者情绪对新股破发的重大影响，助于引导投资者理性投资，提高投资效率，更好地实现自身投资回报的最大化的同时，可以引导资源在一、二级市场间优化配置，促进证券市场的协调发展。另一方面，本文的研究结果也给拟上市企业适当选择上市时机提供了依据，并对形成适合我国证券市场投资者情绪的研究框架体系提出了期许。
英文摘要：	Since the Chinese stock market was established,new share subscription has always been treated as safety investment zone,the academics have also done a lot of research about this.However,donzes of IPO fell on its first day of trading in Chinese A-share market since 2010,while the GEM (Growth Enterprises Market)also met its break damp in 2011.This new phenomenon is difficult to be explained by traditional finance theory. Considering that Chinese GEM is still at initial stage,with obvious speculative atmosphere,problems appreared in the process of its development s more worthy of attention.Based on the GEM as the research background,this paper focuses on the influence of investor sentiment on GEM break demp from the aspects of both market and company .This article selects all 289 companies listed on the GEM from June 1, 2010 to January 31,2014 as rearch samples and dividends them into two groups.Through theoretical analysis and empirical test,we verifies that market investor sentiment can explain the GEM demp to a great extent.When investor sentiment is relatively pessimistic,the market is relatively cold,then the probability of IPO falling on its first day will increase greatly.However,company level emotion of primary market has no significant correlation with new shares break probability and break degree. This paper first introduces the research background,research significance and research framework,then,makes a review of the existing literature about abnormal returns on IPO first day and investor sentiment.Next,we put forward the research hypothesis based on related theory and verify them by empirical models.At last,this paper gives out some suggestions according to the analysis and results above. The study of this article effectively explaines the major effect of the investor sentiment toward the GEM demp,which will guide rational investment , improve investment efficiency and guide the optimum distribution of resources between the first and secondary market to promote coordinated development of the securities market.On the other hand,the study results also provide theoretical basis for companies choosing the appropriate time to go public.
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