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1、 摘要 近年来,“新股申购”越来越成为为中国资本市场昀为重要的论题之一,屡创新高的申购冻结资金,多次超过 100%的新股上市首日涨幅、投资者无风险申购收益等等影响着资本市场资金走向,给股票市场和货币市场带来了新的冲击因素,影响着新股申购期前后股票市场和货币市场的走势。目前,虽然我国新股发行制度经历了一系列的调整,并且越来越趋近市场化,但与国内外成熟市场的新股发行制度仍然存在较大差别。国外新股发行定价更为市场化,主承销商和发行人可以根据投资者的报单及市场情况自主确定发行价格区间和昀终发行价格。此外,国外成熟市场,如美国,新股发行通常采用单纯簿记建档方式,没有对散户的公开发售部分,冻结资金主要体现
2、在机构交给主承销商的保证金(通常每家十几万美元),因此大盘股的发行对市场的影响很小。 本文以新股发行资金冻结入手,分析我国目前新股发行和申购制度对股票市场和银行间回购市场造成的冲击。研究冻结资金的影响首先要明确我国的发行制度,申购缴款制度和申购资金的流向,本文首先介绍了我国目前实施的网下向机构投资者询价配售,网上向一般投资者公开发售的发行制度,简要概括了新股申购缴款、资金冻结、验资和资金解冻的时间流程,并介绍了申购资金全额缴纳后在证券公司帐户,申购人账户及中证登帐户之间的流向,分析在申购期间确实存在资金实际头寸的转移,为下文进行实证分析奠定基础。2006 年股改完成以来,新股重新放行,短短两年
3、时间,发行超过 200 只新股,为本文选择合适的研究样本进行事件分析和回归分析提供了成功前提。因此,本文借鉴国内外相关文献,采用定性和定量选择方法对发行事件进行了筛选,确定了事件分析的研究样本事件。本文第 4 章的事件分析和回归分析是本文的重点。事件分析主要通过计算新股申购前后市场的异常收益率、累积异常收益率来研究新股申购前后,股票市场和银行间回购市场收益率、交易量是否存在异常变化,这些变化是否是显著的,以及这些变化是否是由新股申购引起的。在确定我国新股发行资金冻结对股票和货币市场的影响了新股申购期间的确存在显著的异常变化率之后,本文进一步对不同窗口期的累积异常收益率进行回归分析,以探讨哪些因
4、素影响了异常收益率。昀后,本文对上证综指、深证成指、银行间回购市场 1 日等回购收益率、交易量进行时间序列建模分析,研究新股申购资金冻结的影响是如何在市场之间一步步传导的,并且进一步验证前文事件分析的结论。昀后,本文的第 4 章,也是本文的昀后一章,对实证分析结论进行了概括,并提出了相应的政策建议 本文通过实证分析得出三点结论,一是新股申购导致的巨额资金冻结对申购缴款日股票市场收益率和交易量造成了负面影响,对银行间回购市场收益率和交易量造成正面冲击。二是不同规模和申购结构(网上、网下申购比)的新股发行对累积异常收益率的影响不同,并且,对银行间市场的影响更为明显。三是申购资金冻结对股票市场的冲击
5、是即时的,对银行间回购市场的影响时间持续较长。基于以上结论,本文认为随着新股申购冻结资金规模不断创下新高,已经逐渐开始影响股票市场和货币市场的供求体系。如果资金规模继续增加,而相关措施没有跟上,将不可避免地影响到我国股票市场和货币市场的短期流动性状况。因此,我国应当加强监管层之间的沟通与协调,继续推进定价机制市场化,改革申购缴款制度,以减弱目前新股申购制度下对市场的冲击。 关键词:新股发行; 事件研究 2 我国新股发行资金冻结对股票和货币市场的影响AbstractSubscribing for IPO shares has become a hot topic in Chinese capit
6、al market since 2006. The amount of money frozen in the new share subscription, the crazy increase in the prices of the newly floated shares and the tremendous profit earned by new share investors without risk have led the direction that capital flows, bringing in new factors that impact Chinese sto
7、ck market and money market in the period of new share subscription, especially big IPOs. Though the IPO regulations in China have experienced a series rectifications and have become more and more market-oriented, there are still clear differences between ours and the IPO regulations in the mature ca
8、pital markets, such as America, where pricing for newly issued shares is much more market-oriented. The underwriter and issuer can decide the new share price range and the final price according to the information of investors in price-asking process. Furthermore, in the mature capital market abroad,
9、 issuing new shares is based on book-keeping method and the shares can not be sold to personal investors publicly. The amount of money that is needed in subscribing new shares is only about tens of thousands dollars used for guarantee. As a result, IPO has little effect on the whole marketThis paper
10、 investigates the effects of IPO regulations , especially the great amount of funds frozen in new share subscription on stock market and the inter-bank bond market. Firstly, this paper introduces the IPO regulations in China, summarizes the new share subscription rules and processes, and explains th
11、e flow of fund frozen in new share subscription between different accounts. This part lays a good a base for further study. More than 200 new shares have been issued since 2006, which provides this paper with a good data sample for further event-study and econometric analysis. Using papers relative
12、to this topic for reference, appropriate study sample are decided with both quality and quantity methods. The fourth chapter is the most important chapter of this paper. This chapter includes two parts, the first part focuses on event study, which analyzes the average abnormal return AR and cumulati
13、ve3 我国新股发行资金冻结对股票和货币市场的影响abnormal returnCAR of stock market and the inter-bank bond market to see if there is abnormal fluctuation in AR and CAR before and after the new share subscriptionThe second part focuses on econometric analysis. Firstly, this paper makes regressions of CAR of different “Wind
14、ows” on some independent variables such as the amount of funds frozen in different IPOS to identify which factors caused the differences in CAR. After that, this paper make time series analysis of the stock index , in-bank bond market return and their trade volumes to see how the effect of new share
15、 subscription spreads to this marketsBased on the event study and econometric analysis, this paper finds the funds frozen in new share subscription influence the return of stock market and inter-bank bond market and the trade volume in these markets before and after the subscriptionThe study also su
16、ggest relationship between the amount of the funds frozen for subscribing new shares and the degree of volatility of market return and the trade volumes. Finally, time series analysis demonstrates the effect caused by new share subscription on inter-bank market is deeper and lasts longer, while the effect on stock market is transientKey words: IPO; Event study4 我国新股发行资金冻结对股票和货币市场的影响目录第 1 章 导论 8 1.1 研究背景和选题意义 8 1.1.1 研究背景 8 1.1.2 选题意义.11 1.2 文献综述. 12 1.3 论文结构. 16 第 2 章 我国新
