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The GEM IPO underpricing Studies based on Shibor

Author: WangTeng
Tutor: LuMing
School: Fudan University
Course: World economy
Keywords: IPO underpricing Shibor GEM Heteroskedasticity
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 125
Quote: 0
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Abstract


Initial public offering (IPO) under-pricing, referred to the phenomenon that the initial offering price is obviously below the initial market price, is characterized by the increase from the issue price to the first-day closing price, meaning that excess earnings could be obtained on their debut. IPO under-pricing is commonly found in the stock market around the world and is particularly severe in domestic stock market. High IPO under-pricing is not conducive to the rational allocation of resources, and also increases the price fluctuations in the issue market and the trading market. On October 23 rd,2009, the Growth Enterprise Market (GEM) is officially established. Under this background, it has important practical significance to analyse the reasons of IPO under-pricing and find out the main factors which influence the level of under-pricing in order to put forward some meaningful suggestions.This paper has reviewed three types of main theories about the IPO under-pricing in abroad, in addition, has also further classified the domestic related empirical studies. Based on these previous research results and the analysis of the own characteristics of the GEM and the current issue system, this paper mainly embarks from the perspective of the influence on the stock market exerted by the macroeconomic environment, putting the "Shanghai Interbank Offered Rate "(Shibor) into the study on the IPO under-pricing problem, which is the benchmark interest rate being actively cultivated by the People’s Bank of China. Besides, ratio variables that reflect the financial condition and development prospect, variables that reflect investor sentiment including dummy variable are also taken into consideration in order to establish multivariable regression model. Moreover, to better investigate the factors affecting the level of IPO under-pricing in the Growth Enterprise Market, absolute under-pricing rate and relative under-pricing rate are selected as the dependent variable respectively to make regression analysis. Through the hypothetical testing for the regression, and thereby modifying the regression, the factors that truly exert an influence over the IPO under-pricing rate will be determined. Finally, we summarize the findings and make relevant policy recommendations.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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