摘要
通过引入行为金融学的噪声交易模型(DSSW)对中国IPOs抑价现象进行分析,并对2000～2003沪市A股的IPOs样本数据进行统计分析,借助于换手率和看涨指标,我们发现新股上市首日存在相当高的噪声,噪声拉高首日收盘价,形成噪声抑价,造成中国股市IPOs高抑价.
The authors introduce noisy model of behavioral finance to explain IPOs high underpricing in China and analyze the data of A-share IPOs in Shanghai stock market from 2000 to 2003. Meanwhile, recurring to exchange rate and BSI, the authors draw the conclusion that there exists high noise on initial day, and the noise drives up the market closing pricing on initial day, then forms into noise underpricing to cause Chinese high underpricing.
出处
《软科学》
CSSCI
2005年第5期30-33,共4页
Soft Science
基金
国家自然科学基金项目(70473107)
