Research Of IPO Efficiency On The Market Of A-share And H-share

IPO (Initial Public Offerings, IPO), the first time companies sale public shares stock to the large amounts of investors in the market, and subsequently traded in the market. the The phenomenon appeared Academia will around the IPO theory can not explain called "IPO ten mystery," One of the most well-known phenomenon and the weak long-term "IPO Underpricing Puzzle."The phenomenon of IPO underpricing and the contradiction between the effectiveness of the stock market, especially China, the high IPO underpricing has affected the healthy development of the stock market and the effective allocation of resources. Capital market theory suggests that the premise of the efficient market, stock prices should be decided by its intrinsic value, the intrinsic value of the stock situation of the company reflect fundamentals. Both in the primary market or secondary market, investors should be measured based on market information in the stock price to determine the investment strategy. The first day in the IPO, listed companies have little change in the information set, but there the first day closing price was higher than the issue price of the phenomenon, this underpricing is common in world securities markets, and the degree of the underpricing not the same. In developed markets, IPO's underpricing is lower, underpricing is generally not more than 20%, emerging markets, a higher degree of underpricing, underpricing is usually between 30%-80%. An emerging market areas are China's securities market and other emerging market countries, there is a big difference securities market, China's IPO underpricing is not only higher than developed countries, and significantly higher than other emerging market countries. July 2009 issue of China's A shares listed on five stock Guilin Sanjin, Deng Jun of China building a larger degree of underpricing, underpricing average rate of 111.46 percent.According to "Law of One Price", while A shares and H shares listed companies with the same fundamentals, stock prices in two markets excluding the impact of exchange rates should be equivalent. However, in practice the two markets even with the company's stock price excluding exchange rate factors are still very big difference. Although Hong Kong and the mainland's economic system is different, but whether IPO underpricing is the result so different underlying causes. Explore with the companies in the IPO market in these two different help us find the mainland A-share market and H share IPO market, the difference between market efficiency measure similarities and differences between the two markets as well as the different factors affecting market efficiency. Than on the mainland market to Hong Kong's securities market is relatively mature, and fully understand the difference between the two markets will help to assist the development of mainland scholars to find deficiencies in the mainland market, will help standardize the mainland market system, rationalize the allocation of resources to promote healthy and orderly development of securities markets.Evidence of this option in the A share and H share market IPO firms are conducted as a sample, and in the past only select a single market for IPO research, this paper aims to find the same fundamentals of the same company when the IPO market in different price and underpricing difference. IPO in the single market with a sample of comparison, look different in different markets IPO to study A-share market and the different H-share market. And selected A-shares and H-share market have been a sample of IPO companies, the A share and H share market at the same time as the object of study, to compare the efficiency of the two markets on the basis of analysis of IPO causes of the difference. Finally, in the previous article, with different past, a separate analysis using the event or by multiple regression analysis to study the market issues. This article will apply the same two methods IPO efficiency analysis, the use of event analysis of IPO shares after the incident rate of return, and how changes in prices, the use of factor analysis to find common factors affecting the efficiency of IPO, to determine the impact IPO efficiency factors. According to the information contained IPO price of A shares and H in different markets in different stocks In this paper, A Comparison of IPO shares and H-share market efficiency in the background and significance. Summarizes national scholars weak IPO excess returns and long-term study of different theories to explain the phenomenon, combed the formation mechanism of the reasons for IPO underpricing theories, and introduces the A shares and H-share market's fundamentals. The basic principle of market efficiency are described and summed up the event study of the theoretical basis and the basic steps. Event study method as a basic tool to A shares and H shares at the same time the companies had IPO event analysis to study the object, measured by its excess revenue to find out the effectiveness of two different markets. Based on the discussion in the empirical analysis of A-share market and the H share market market efficiency reasons for the differences. Then, the factors affecting the efficiency of a simple market analysis and multiple regression analysis described the basic principles of law in the application of multiple regression analysis based on the impact of A-share market and the search for H-share market factors market efficiency, IPO Offering Price Comparison factors reflect the different information to analyze the efficiency of the two markets for different reasons.The empirical analysis, A shares and H-share market IPO is not very efficient, but the H-share market's performance is better than A-share market. In the event analysis, A-share market on the first day were significantly higher than the excess income to H-share market, due to A-share market speculation investors to more obvious, so the excess returns are significantly higher than the H-share market. In multiple regression analysis, A-share market IPO issue price reflects only the impact of a target, while the H-share market IPO issue price but may reflect the influence of four indicators. Therefore, although the A share market and H-share market is weak form efficient market with, but because A-share market in significant speculation and market imperfections, A-share market is lower than the effectiveness of H-share market.