| Since the securities markets were founded, the Initial Public Offering (IPO) market in our country has faced severe low efficiency. The excessively underpricing has caught worldwide researchers’attention. High price, high PE and high excessly raised funds phenomenon (commonly known as the"three highs") were hotly disscussed among academic and practic elites. How to dispel the low efficiency and "three highs"has become a major target and task of our market reform.There are various kinds of price index tools in security markets already, such as the Shanghai Stock Index, the National Debt Index and so on. As an important financial tool, IPO is too much ignored to be absent from the index family. Maybe it is the absence, IPO market is commonly separate from the secondary stock markets, the IPO market is difficult for goverments to supervise, and the "three highs" and low efficiency problems couldn’t be well resolved.Based on the deep analysis of current IPO market situation, the nature of IPO trading and the environment of the IPO markets, this article tried to establish an IPO price index of Chinese IPO market. The article primarily answers three questions:(1) What methods can we use to compile the IPO price index?(2) Is it appropriate to establish an IPO index in current Chinese IPO market?(3) What can we do to ensure the accuracy of the price index? In order to solve the three problems, the research made following attempts:First of all, summarize the theories related to IPO price. IPO price is mainly decided by two factors, one is the intrinsic value of the enterprise, and the second is the demand of the IPOs. Intrinsic value is most important for IPO price as the heterogeneity of IPO companies, and this made the compiling of IPO index is much different from common product price index.Secondly, since IPO price index can’t use traditional price index methods to compile, therefore, we need to find a new method to adjust quality difference. One of the most popular methods is to use hedonic price method. According to the theory, heterogenetic IPOs can be divided to different characteristics, through the hedonic model, quality difference could be eliminated. But this theory has strict market assumptions to use; it can only be used in completely competitive market and pure competition market. As the Chinese IPO market used to be seriously intervened, therefore, should we use hedonic method to compile IPO index?Finally, an accurate IPO hedonic price index is based on an appropriate price model and function form and a reliable characteristic variable system. This article makes great efforts to achieve this. In addition, the choices of the base period and the time span of two periods are also important, as our market is frequently reformed recent years, different IPO prices during two reforming time may not be comparable, so, how to choose index periods is detailed researched.Through deep normative research, this article tried the best to ensure the scientificalness, reasonableness, accuracy and availability of the index. In the end, we use the SME stock IPOs of manufactory industry since July of2009to compile an IPO index of China. The empirical results show that, the hedonic pricing model reflects very well of the IPO price change, and the price index fits very well with the secondary stock market index.The paper innovatively proposes that we should construct an IPO index to resolve current low efficiency problems of IPO market. And this may be significant both for the world IPO market and Chinese government, because through IPO price index, we can learn more about the market, we can find more answers to the market inextricable secrets.Based on the above analysis, this article also has the following recommendations:first of all, to speed up the stock market construction and market regulate system perfection, to stable the IPO market operation; Secondly, give more attention to the IPO market and to promote the IPO market reform actively and comprehensively; Again, strengthen the market service system, to set up a special organization to research and develop IPO price index. |
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