中國大陸創業板新上市股票短期超額報酬率之研究

Abstract

本論文研究之中國大陸創業板新上市股票短期超額報酬率之研究，以2009年10月30日起至2010年2月26日止，新上市股票共58家上市公司為其樣本數，計算其短期超額報酬率。中國大陸創業板市場掛牌交易的新上市公司，具有高度成長性且屬於新興發展產業。本文以發行公司、投資人與承銷商共三大部分，分九大變數，利用複迴歸分析方法來檢視與驗證其假說，經實證分析檢驗後得知結果，創業板新上市股票的確出現上市首日正超額報酬率確實存在，且平均超額報酬率達65.657%，但經實證結果檢定分析後，上市次日起超額報酬率呈現負報酬率，顯示首日股價過度反應。中簽率與短期超額報酬率呈現負相關，當中籤率愈低時，超額報酬率愈高；當月發行上市公司家數與短期超額報酬率呈現正相關，當月上市家數愈多情況下，能吸引投資人參與認股，並能影響短期超額報酬率，其結果與實際市場交易情況相符。

The procedure is to study the new short-term excess returns of Chinese mainland growth enterprise market. There are 58 listed companies as samples to calculate the short-term excess returns in the period of October 30, 2009 to February 26, 2010. Chinese mainland growth enterprise market newly listed companies with high growth and the development of industry are emerging. This paper consists of three parts: the issuing companies, the investors and the underwriters. Based on nine variables by imposing regression analysis to examine and validate its assumptions. From the results of the empirical analysis, we learn that the excess returns of the new growth enterprise market listed stocks on the first day do exist, and the average of the excess returns rate is up to 65.657%. However the excess returns from the day after showing the negative growth by the empirical analysis indicates that the stock price is overreacted on the first day. Drawing probabilities and short-term rate of returns have a negative affect on excess returns, while the lower drawing probabilities, the higher excess returns. The numbers of the company going public in the same month and short-term excess returns are positively related. The numbers of company going public in the same month increases, it would attract investors to participate in stock options, and it affects on the short-term excess returns. The results are in accordance with the actual market transactions.