基于价格表现的我国新股首日大单交易行为特征研究

    The Characteristics of the Block-Trading Activities Based on China IPO Price Performance

    • 摘要: 从短期抑价和长期超额收益两个价格表现方面分析了我国新股首日大单交易的特征,运用单因素方差分析了大单持有者信息优势及影响大单交易水平的因素。结果表明:正处在“新兴+转轨”的中国市场,整个IPO抑价水平一直在下降中,IPO的平均超常收益都显著大于零,平均超常收益有增长趋势;新股首日大单持有者在信息上相对于小投资者并没有信息优势,中国IPO市场竞购者不是长期投资者,他们做如此频繁的大单交易,目的在于获得短期收益;首日回报率和发行募集资金总额是影响大单交易的主要因素。

       

      Abstract: This paper studies whether the trading behavior of IPO block holders is informative to small investors. The results show that the level of block-trading activities is positively associated with the IPOs' price performance. They also show that IPO block holders do not have superior information on newly-listed companies. The block holders trade frequently in order to capture short-term profits. Offer-to-open return and market capitalization are the main factors affecting the block trading.

       

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