本文選題：IPO鎖定期 + 價(jià)量效應(yīng)�。� 參考：《遼寧大學(xué)》2014年碩士論文

【摘要】：IPO鎖定期是在股票首次公開發(fā)行并上市之后，針對(duì)特定的持股人設(shè)定的不允許其出售持有股份的期限。為股票設(shè)定IPO鎖定期，目的在于限制原有股東借上市溢價(jià)之際任意出售，避免首次公開發(fā)行并上市的新股對(duì)于二級(jí)市場(chǎng)施加過(guò)度的供給沖擊，維護(hù)市場(chǎng)的穩(wěn)定，對(duì)于規(guī)范公司上市籌資的目的和保護(hù)中小投資者的公平權(quán)益有著重要的意義。2012年10月30日開始，中國(guó)創(chuàng)業(yè)板市場(chǎng)的上市主體正不斷歷經(jīng)IPO三十六個(gè)月鎖定期的解除，在創(chuàng)業(yè)板這一具備上市主體經(jīng)營(yíng)穩(wěn)定性相對(duì)弱、市盈率相對(duì)高、投機(jī)氛圍更重等特點(diǎn)的市場(chǎng)上，控股股東和實(shí)際控制人等主要股東所持股份鎖定期的解除，分析由此所引起成交價(jià)格和成交量方面的異動(dòng)的特點(diǎn)及原因，能從側(cè)面反映并及時(shí)的解決市場(chǎng)存在的弊病，使中國(guó)創(chuàng)業(yè)板市場(chǎng)更加健全更好的發(fā)揮資金融通作用。 本文選定中國(guó)創(chuàng)業(yè)板市場(chǎng)IPO三十六個(gè)月鎖定期解除這一事件作為研究對(duì)象，在確定樣本數(shù)量和研究窗口期的基礎(chǔ)上，收集數(shù)據(jù)并計(jì)算得出能代表價(jià)量效應(yīng)的三個(gè)指標(biāo)變量，分別為異常收益率AR、累計(jì)異常收益率CAR和異常交易量AV，觀察其在研究窗口期內(nèi)的變化情況，結(jié)果發(fā)現(xiàn)鎖定期的解除引起了明顯的負(fù)的異常收益和擴(kuò)大的交易量。在此基礎(chǔ)上，引用考慮了需求會(huì)隨著由供給沖擊引起的流動(dòng)性增加而增加的股票價(jià)量模型，，將T-1日至T+3日的累計(jì)收益率作為被解釋變量，引入擴(kuò)容壓力、解除鎖定期時(shí)價(jià)格相對(duì)于發(fā)行價(jià)格的變化、上市公司規(guī)模、公司的經(jīng)營(yíng)業(yè)績(jī)以及因供給沖擊引起的流動(dòng)改善作為解釋變量，建立多元回歸方程，研究累計(jì)收益率的影響因素和股票的需求彈性，發(fā)現(xiàn)擴(kuò)容壓力、公司的經(jīng)營(yíng)業(yè)績(jī)和短期平均異常交易量這三個(gè)變量的對(duì)累計(jì)收益率的影響在經(jīng)濟(jì)和統(tǒng)計(jì)方面都較為顯著，并由此回歸分析得出在此次鎖定期的解除事件的影響之下，創(chuàng)業(yè)板市場(chǎng)的需求價(jià)格彈性非常大。最后分析了價(jià)量受到鎖定期解除影響而發(fā)生異常變化的原因，并針對(duì)不同的市場(chǎng)主體給出了解決市場(chǎng)中存在問(wèn)題的政策建議。
[Abstract]:IPO lockout is a period for specific shareholders not to be allowed to sell their shares after an initial public offering. The purpose of setting the IPO lock period for the stock is to restrict the original shareholders from selling freely on the occasion of the listing premium, to avoid the excessive supply shock to the secondary market caused by the initial public offering and the listing of new shares, and to maintain the stability of the market. It is of great significance to standardize the purpose of corporate listing and to protect the fair rights and interests of small and medium-sized investors. Starting from October 30, 2012, the listed parties of the gem market in China are undergoing the release of the IPO 36 months lock-up period. On the gem, a market characterized by relatively weak operational stability, relatively high price-earnings ratio, and a more speculative atmosphere, the locking period of shares held by major shareholders, such as controlling shareholders and actual controllers, is lifted. The analysis of the characteristics and reasons of the transaction price and volume caused by this can reflect and solve the defects of the market in time, and make the gem market more sound and better play the role of fund financing. In this paper, we select the thirty-six month lock release of IPO in China growth Enterprise Market as the research object. On the basis of determining the sample size and the research window period, we collect the data and calculate the three index variables that can represent the effect of price quantity. They are abnormal rate of return, accumulative abnormal rate of return CAR and abnormal trading volume, respectively. The results show that the release of lock period leads to obvious negative abnormal return and enlarged trading volume. On this basis, taking into account the stock price model in which demand increases with the increase of liquidity caused by supply shocks, the cumulative rate of return from T-1 to T3 days is taken as the explained variable, and the expansion pressure is introduced. The variation of the price relative to the issue price, the scale of the listed company, the operating performance of the company and the improvement of the flow caused by the supply shock are taken as the explanatory variables to establish the multivariate regression equation. By studying the influence factors of cumulative return rate and demand elasticity of stock, it is found that the influence of expansion pressure, the company's operating performance and the short-term average abnormal trading volume on the cumulative return rate is more significant in the economic and statistical aspects. The regression analysis shows that the demand price elasticity of gem market is very large under the influence of the release of lock period. Finally, the paper analyzes the reasons for the abnormal change of the price quantity affected by the release of the locking period, and puts forward some policy suggestions to solve the problems existing in the market for different market subjects.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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