Study On The IPO Underpricing In Chinese GEM

IPO underpricing is also called initial public offering underpricing, which is a common phenomenon among the world's security market. Compared with stock market of developed countries, the degree of IPO underpricing in developing countries is quite serious, especially in China. In recent years, there are many studies on IPO underprcing based on Chinese A share market. In this thesis, we study IPO underpricing based on GEM.Based on the data of new issues in Shenzhen stock exchange from October 30 last year to May 26 this year, we finds that the IPO underpricing of 86 stocks on GEM is 57.8%, which is higher than that of SME board. Based on stochastic frontier model, we finds that there is no upper frontier in IPO underpricing in GEM, but there is distinct lower frontier and the offering price is higher .We use quantile regression model to find different influencing factors of offering price at different quantiles. In the higher quantiles, the GEM'influencing factors are pe ratio, net assets per share before issue, issue cost per share and size; In the lower quantiles, the factor is the total number of shares before issue. The offering price in SME board is inflenced by the size in lower quantiles.The speculation influence the IPO underpricing in two markets, and the influence is the biggest among all the factors. In addition, the IPO underpricing in GEM is significantly influenced by the time intervals between issue and public and demand-to-offer ratio. This conclusion can provide reference for the securities regulatory departments and the issuing company.