The Empirical Research On IPO Under-pricing In Chinese Market

IPO Under-pricing is a widespread phenomenon of IPO markets in the world. Compared with other countries and areas, it is especially serious in China during every period of its development. As increasing the price fluctuation between initial market and secondary market, it still restrains the functions of financing and the distribution of resources. So many scholars made a lot of researches to Chinese IPO market with many theories, then got plenty of significant conclusions.The paper firstly reviews the research findings and conclusions, then with making the "Conformity Behavior Theory" as the primary evidence, the paper proposes hypothesis of "Hysteresis Effect" on IPO Under-pricing through examining the mentality and character of investors in Chinese IPO markets, and certifies the existence of "Hysteresis Effect" on theoretical and empirical research. With combining more speculative factors, the paper studies how the speculation affects the IPO Under-pricing. The paper uses the Eviews5.0 and sample data to make the statistical description and model, meanwhile, explains the rationality of the model with ADF test,ARCH-LM test and so on. The paper gives up the traditional multiple regression analysis and adopts GARCH (p,q) model, not only exams the speculative factors affecting the IPO Under-pricing, but explains the character of fluctuation. The paper exams the speculative and general factors, and studies the IPO Under-pricing phenomenon in the framework of speculation. Through empirical research, the paper gets the conclusion that the speculation is a main reason to IPO Under-pricing. So constraining speculations in initial market is benefit to the improvement.The findings shows that the primary factors in the framework of speculation are "Hysteresis" factors,Opportunity Cost,Expected Excess Earning,Exchange Rate on the First Day,Earnings of Per-share in Last Year before IPO and P/E. According to the empirical research, the paper proposes the policy suggestions that it should optimize the examination in IPO and make rational arrangement of the IPO sequence, reduce the frozen term of the capital, establish the multi-level regulation system to restrain the scale speculation, still it should improve the disclosure of information to reduce the IPO Under-pricing and enhance the efficiency of IPO.