| In the past two decades since the initiation of China’s stock market, seven ups and downs have been witnessed and widely discussed by economic theorists, who defined the phenomenon abnormal, and warned people of the stock market "bubble" based on the hope that the stock price can return to its intrinsic value. The discussion is not only confined in China but also attracted international economic theorists. Studies on stock market bubble in the West are divided into two branches, as rational bubble and behavioral finance. Both are based on the fundamental proposition of the validity of the market to test the stock market bubble. Different from related studies in the West, in addition to the verification of stock market "bubble" in terms of measurement studies on the bubble among Chinese scholars, more attention has been placed on its measurement, which remains unexplored in the West. As for measuring the bubble, Chinese scholars mainly adopt two approaches, as direct calculation of the stock value basis and value basis expressed by rate of return. Yet, all those studies on the stock market bubble have been conducted based on the secondary market, ignoring the close relationship between the primary market and secondary market.China’s stock market is essentially an emerging and transitional market. Despite the significant size, it is not so competitive, demonstrating defects such as immature market development, incomplete financial supervision, imperfect legal system, highlighted structural problems, incompetence in its capacity of fighting risks. Under such a particular system background, the studying of China’s stock market bubble solely based on the secondary market is incomplete. This paper makes the first attempt to start from the special system background and valuation model of China’s capital market and valuation model, and focus on the whole process of IPO for the research into the stock market bubble, and analyze the current situation as well as its influencing factors of IPO bubble in China.This paper, on the basis of the analysis on the reality of China’s securities market, determined the focus of the study as the entire process of IPO. According to the development of China’s stock market as well as the reality of listed companies, the improved residual income model can best fit the measurement of value basis of IPO companies so as to validate the IPO bubble. On this basis, this paper selected samples of538IPO companies in non-financial sector from2001to2008to investigate IPO bubble and its influential factors. Then, upon the discovery of IPO bubble in China, it can be seen from IPO of individual shares that the issue and pricing of new shares may not be completely effective in China. Besides, the issue mechanism and the listing mechanism may be conflicted. From the monthly IPO bubble, main board of Shanghai Stock and the medium and small board of Shenzhen Stock presented different characteristics, and we attribute this to the stricter issue mechanism of new shares in the medium and small board. In the analysis of its influencing factors, this paper found that:(1) influencing factors of IPO bubble of individual shares include: the proportion of tradable shares, risk factors, IPO P/E ratio, first day turnover rate after listing, earnings per share, company size, stock index and the amplitude of first day stock index after listing, release date and so on. If different listing locations and issue mechanism of new shares are considered, the influencing factors of IPO bubble of individual shares will be found different, indicating different positioning between two markets. In addition, the reliance on market of issue mechanism of new shares has been gradually extended, revealing a more and more obvious interaction relation between the primary market and the secondary market;(2) the influencing factors of monthly IPO bubble include:M1growth rate, closed-end fund discount rate, CPI and ICS, as well as the issue mechanism. Yet, at different stages of the mechanism, or given different listing locations, the influencing factors should be considered differently. Since the restart of IPO in2009, an abnormal phenomenon has haunted the issue market of new shares in the form of falling on its first day of trading. In the paper, the target shares of48companies are selected as samples to investigate the IPO bubble of those new shares. Bubble was found even in those IPO shares. The break only represents bubble burst in the first day of trading of IPO bubble. The bubble in issue and pricing is enlarged compared with the previous ones while the break can be regarded as a modulation of the issue and pricing in the first day of trading, though with a limited effect. This paper holds the idea that the break itself should not be regarded as "in the first day of trading" but the automatic suppression of IPO bubble driven by the market. However, if the break occurs collectively during a specific period, it should not be verified as a normal condition, but indicating problems occurred in the entire operating environment, even in the whole macro-economy.This study provided effective theoretical supports for the analytical framework of the financial bubble of the capital market under the emerging markets and transition economies. Practically, the research conclusions provided decision-making basis of policy positioning and regulatory levels for regulatory authorities in developing company regulatory rules in terms of issue and pricing, listing and trading. The paper also put forward a new approach for investors (especially institutional investors) to analyze investment value, which is conducive to improve the accomplishment of rational investment; a pragmatic means of decision analysis for listed companies and companies to be listed in effective management of share price or value as well as scientific market value management; a reference standard for the evaluation of new shares of agencies, which is conducive for agencies (especially investment banks) to regulate valuation behaviors. |
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