我国新股发行的灰色理论实证分析

【作者】 李卫灵；

【导师】 王子亮；

【作者基本信息】 山东大学 ， 管理科学与工程， 2005， 硕士

【摘要】 首次公开发行新股的“低风险、高收益、巨额申购、高换手率”一直是我国资本市场的一个显著特点,这大大降低了市场运行效率和资源配置效率。正是基于这一点,1999年开始,我国开始大力推动一级市场发行制度的改革,并于2001年4月实现了从审批制到核准制的转换。但制度变迁效果到底如何,一级市场效率是否有根本性的提高?国内部分学者对这个问题进行了研究分析,但仍存在一些不足之处。本文将通过制度分析和实证研究,对这个问题进行深入的思考和探索,为政策制定提供有益的建议。 首先,本文详细介绍了国外IPOs研究的主要理论观点和发展趋势,并对国内研究现状进行了分析与评价。然后,介绍了灰色系统理论及灰色关联分析理论方法,并对灰色关联度计算方法进行了改进,为后文实证分析提供了理论和方法依据。采用灰色关联分析方法,主要是基于改革前后我国新股市场可供对比分析的样本较小,且某些数据波动很大,传统概率统计方法在此受到一定的限制。最后,针对我国IPOs问题,本文进行了全面的制度分析和实证研究。在回顾了我国一级市场制度变迁历程之后,分别选取2000年和2003年上海证券交易所上市部分新股作为样本,运用灰色关联分析方法对核准制实施前后的整个IPOs过程(即发行、申购、上市、上市一年)进行实证和对比分析,考察制度变迁对我国一级市场的影响。 实证分析结论表明,制度变迁提高了一级市场的效率,但是效果并不明显;初始收益率虽有所下降,但仍非常可观,而巨额申购和高换手率现象仍非常普遍,且中签率日趋下降,表明投资者依然非常热衷于申购新股。制度改革难以推进的原因在于改革割裂了一二级市场的内在联系,在没有解决股票供给刚性及二级市场非理性定价等根本问题情况下的改革只能是局部的和形式上的改革。因此,本文的政策建议是:首先应解决二级市场“股权分置”根本性问题,进一步完善我国证券市场;同时放开股票供给控制和人为筛选机制,实现股票市场的供需平衡;最重要的是,政府必须意识到资本市场的本质在于投资和优化资源配置,过分强调“筹资”对我国股票市场的规范化和国际化进程都将是弊大于利的。更多还原

【Abstract】 Little risk, high returns, great oversubscription and high turnover of Initial Public Offerings (IPOs) are long-standing obvious features of Chinese capital markets, which damage the market efficiency and the resource allocation efficiency. To solve . these problems, in 1999 the government began to advance the institutional reforms in Chinese IPOs market, and realized the conversion from examination and approval system to checking system in April of 2001. But how well it runs? There are some studies on this problem, which still have some shortages. This paper will study this problem in order to provide some policy on institution reform by institutional analysis and empirical research.First, this paper introduces the main theories and developing trend of IPOs problems in abroad, analyses and appraises the domestic study on IPOs problems. Thinking that statistic method works restrictedly for our primary stock market’s characteristic of little sample and great variability, then, this paper introduces grey system theory and grey relational analysis method, and improves the computing of grey relational degree, which will provide theory and method for the following empirical research. Finally, this paper makes institutional analysis and empirical research on domestic IPOs problems. After reviewing the institution reform on the primary stock market in our country, this paper selects some IPOs as two samples, which are listed in Shanghai stock exchange in 2000 and 2003, and analyses the whole IPOs price course (issuing, purchasing, marketing, one year after marketing) by grey relational analysis method.The empirical research shows that the reforms did not improved the market efficiency obviously, because it neglects the natural relation between the primary and the second stock market. It is just sectional and formal without solving the essential problems of limited stocks supply and the aftermarket inefficiency. So, the corresponding suggestions are: solving the fundamental problems first, which may perfect the security market further; at the same time, relaxing the stocks supply limitation; moreover, the government needs to realize that the essence of capital market lies in investment and the resource allocation functions, too much emphasis on "capital raising" will be harmful to the further development and internationalization of Chinese stock market.更多还原