2000 12 12 : 100026788 (2000) 1220011211, (, 100080) :, OL S A R IM A,, : ; ; : F830. 91 α Som e A nalysis abou t Shanghai and Shenzhen s IPO M arket W AN G Jun2bo, D EN G Shu2hu i (A cadem y of M athem atics and System Sciences, Ch inese A cadem y of Sciences, Beijing 100080) Abstract: Based on the modern securities m arket theo ry, th is paper analyzes the developm ent of the IPO m arket of Shanghai and Shenzhen. W e do som e analysis of the influence of the co rrelation variab les of the secu rities m arket on the IPO m arket s under2p ricing by using OL S m ethod and A R IM A model. Based on the analysis, w e give som e exp lanato ry fo r the under2p ricing of the IPO m arket and several po licy suggestions fo r th iṡ Keywords: IPO m arket; under2p ricing; issue p rice 1, Initial Public O fferings, IPO,, ( ),,,, [1 5 ] [2 Ibbo tson ], [6 22 ] 1990 12 1991 4, 10,,,,, α : 1999204223 : (79790130)
12 2000 12,,,, [23 26, ],, OL S A R IM A, 2 ; 3 ; ; 2,,,,,,,, 10, : 1) 1991-1992 : 1991 1992,,,, 15 A ; 2) 1993-1994, 1993,,,, 1993-1994 7, A 53. 56,B 23. 19 [27 ] ; 3) 1994-1996,,, 1994,, 1536 333. 29,,, 1994 7 30, 1994 8 1995 11, 5. 32 A, 10. 90 B, 1993-1994 10%, 4) 1996, 1996,,,,,, 1996 150, 1997 300, 1 3 1996 1 1998 8 16, ( ) : 1 1996 1 2 3 4 5 6 7 8 9 10 11 12 6 3 6 5 15 24 16 18 20 17 18 16 2 1997 1 2 3 4 5 6 7 8 9 10 11 12 20 7 6 24 26 40 24 6 9 9 8 5 3 1998 1 2 3 4 5 6 7 8 8 5 4 9 11 17 3 2
12 13,,,, 3, 1996 1 1998 8 16, 186, 83. 8 ; 196, 87. 5,,, Dow nes H eikel,, :,,,, 70%, T + 3,,,,, (R eturn= ( - ) g ) 3 100%,, 1, 2 1 2,,,, 4
14 2000 12 4 125. 2 429. 5 0. 82 70. 5 135. 7 469. 1-6. 17 81. 5 4, 1996-1998, 125. 2%, 429. 5%, 0. 82% ; 135. 7%, 469. 1%, - 6. 17%,,,,, : (p rice) (vo lum e) (div) (aver) 3 5 (, ) 3 4
12 15 5,,,? OL S A R IM A,,,, (R 2 ), t-,, AD F Ph illip s2perron, 5, 6 5 AD F Ph illip s2perron AD F Ph illip s2perron return - 3. 63 (c, 0, 4) - 3. 47 3-5. 46 (c, 0, 4) - 3. 49 3 p rice - 5. 41 (c, 0, 4) - 3. 47 3-10. 01 (c, 0, 4) - 3. 49 3 vo lum e - 4. 46 (c, 0, 4) - 3. 47 3-9. 38 (c, 0, 4) - 3. 49 3 div - 9. 78 (c, 0, 4) - 3. 46 3-9. 74 (c, 0, 4) - 3. 49 3 aver - 2. 79 (0, 0, 4) - 2. 58 3-2. 61 (0, 0, 4) - 2. 58 3 6 AD F Ph illip s2perron AD F Ph illip s2perron return - 3. 88 (c, 0, 4) - 3. 46 3-11. 06 (c, 0, 4) - 3. 46 3 p rice - 5. 39 (c, 0, 4) - 3. 46 3-13. 19 (c, 0, 4) - 3. 46 3 vo lum e - 3. 53 (0, 0, 4) - 3. 46 3-12. 91 (c, 0, 4) - 3. 46 3 div - 9. 66 (c, 0, 4) - 3. 46 3-9. 66 (c, 0, 4) - 3. 46 3 aver - 2. 27 (0, 0, 4) - 1. 94 3 3-2. 43 (c, 0, 4) - 1. 94 3 3 : c t, k Ζ 3 1, 3 3 5 Ζ c, t, k (X, X, X ), A ver 5%, 1%, OL S A R IM A
16 2000 12 : return= 219. 7+ 1. 45aver+ 0. 52div- 11. 54p rice- 3. 3lvo lum e+ Ε (31. 96) (1. 86) (0. 74) (2. 77) (0. 82) (6. 87) (0. 79) (0. 71) (4. 16) (- 4. 01) (A R (1) = 0. 96, M A (1) = - 0. 84) (, t- ) : R 2 = 0. 328 DW = 1. 77 F= 14. 29 LM (2) = 1. 95 (0. 15) LM (4) = 1. 24 (0. 295) LM (8) = 0. 90 (0. 52) A RCH (1) = 0. 057 (0. 81) A RCH (2) = 0. 035 (0. 97) A RCH (3) = 0. 025 (0. 99) R ESET (2) = 4. 59 (0. 01) R ESET (3) = 3. 08 (0. 03) R ESET (4) = 2. 30 (0. 06) W H (no cro ss term s) = 0. 95 (0. 48) W H (w ith cro ss term s) = 1. 31 (0. 21) ( ) Chow 178, 5,, 6. 6,,,,, ;,,,,,,,,,, : return= 243. 1+ 2. 61aver+ 3. 73div- 17. 71p rice- 6. 71vo lum e+ Ε (26. 82) (1. 68) (0. 70) (2. 61) (0. 10) (9. 07) (1. 56) (5. 29) (- 6. 78) (- 6. 47) (A R (1) = 0. 96, M A (1) = - 0. 84) (, t2 ) :
12 17 R 2 = 0. 469 DW = 1. 93 F= 27. 25 LM (2) = 0. 99 (0. 38) LM (4) = 1. 30 (0. 27) LM (8) = 0. 76 (0. 64) A RCH (1) = 0. 69 (0. 41) A RCH (2) = 2. 02 (0. 14) A RCH (3) = 1. 42 (0. 25) R ESET (2) = 23. 84 (0) R ESET (3) = 13. 62 (0) R ESET (4) = 10. 18 (0) W H (no cro ss term s) = 1. 98 (0. 05) W H (w ith cro ss term s) = 2. 89 (0) ( ) Chow 180, 13,, 7. 7,, :, ;,,,,,,, 4,, :,,,,,, : 1), 10,,,,,,,,,,,,,,,
18 2000 12 2),,,,,,,,, : = 3, 14 15 40 70, 7 1997 1-6 7 1 2 3 4 5 6 16. 65 15. 27 15. 64 14. 35 14. 10 14. 95 17. 16 15. 00 15. 00 14. 45 14. 32 14. 77 38. 47 42. 41 44. 54 49. 67 51. 86 51. 49 1997 6 20 : 1997 7 18 22 28 :,,, ;,,,,,,,,,,,,,,,,,,,,,, 3),,,,,, 1998 6 30, 890, 2113. 49, 652. 78, 6163. 3, 21412. 13, ( 1997 ) 30% 8%, [28 8 ],,,,,,, 1500 2000, 200, 0. 5% 0. 5-2 A 70%, 100%, T + 3,,,
12 19, :,,,,,, 1996 1998,, A 8 1996 1998. 8 1995 12 1998 9 A A 188 566. 94 95. 31 426 1230 288. 44 120 220. 57 67. 01 401 1017. 25 284. 91 8, 1996 1998 9, 334%, 462%, A 425%, 226% 216% 302%,,, [29, ],,,,,,,,,,,,,,, 5,,,,,,,,, : 1),,,,,,,,,,,,,
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