An Empirical Study On IPO Pricing Efficiency In The Inquiry System In China’s A-Share Market

Since January1st,2005, Chinese stock market has put inquiry system into practice. In the early stages when the inquiry system launched, the initial returns were still very high. But since the restart of IPO in2009, the closing prices of the new shares on the first day are frequently lower than the issuing prices. This paper studies the pricing efficiency of the IPO market since the inquiry system launched. Make the restart of IPO in2009be the demarcation point, divide the period from September19th,2006to September20th,2011into the old period and the new period. In each period, select20financial indicators that can fully reflect the company’s intrinsic value, use the method of factor analysis to extract the main factors, and then conduct the stepwise regression of the main factors whit the IPO issuing prices and the closing prices listed on the first day respectively to study the explanatory power of the companies’intrinsic value on the issuing prices and the closing prices and to analyze the rationality of IPO market. Then, add the variables reflecting the market and issuance situation to analyze the influence of the external factors. At last, compare the empirical results of the two periods to get the effectiveness of the inquiry system. We get the conclusions:①In the old period, the issuing prices did not fully reflect the companies’intrinsic value; the closing prices on the first day reflect even less factors, and are affected significantly by market factors. The primary market and the secondary market pricing are both flawed.②In the new period, the issuing prices reflect all the factors representing companies’intrinsic value, but the market and issuance situation are also affect the issuing prices. The closing prices on the first day reflect less factors, and are affected more by the market and issuance situation.③In the new period, the explanatory power of the companies’ intrinsic value on the issuing prices and the closing prices has improved greatly. So the pricing efficiency in the new period is better than that in the old period, and the reform is effective, but there are also some defects.④the both periods, the investors’irrational behaviors in the secondary stock market influence the IPO initial returns significantly. According the results and conclusions, give some suggestions.