The Empirical Research Of Influencing Factors And The Prediction Of Probability Of IPO’s Falling On Its First Day Of Trading In A-share Market

In the past,all research about the IPO of the new stock always focus on IPO underpricing because of the myth of high return in the process of purchase of new shares. but from2010on, with the phenomenon of the new share fell on in the trading day becoming common it is necessary to start on the research of the phenomenon,the reason,the influential factors, and the result.In the paper, we focus on the phenomenon that the new shares break on the first day in the secondary market.In the paper, the mainly thought is relaying on the research results of the many scholars and my own idea, firstly analyze the potential influential factors and the reasons of new shares break on its first day, then according to the sample data from the CSMAR, wind, and CCER, we use some empirical method like variance analysis and regression test, in the step,we can find the significant influential factors which can be used to constructing the model to forecast the probability of the new share breaking on its first trading day.Specifically, the companies with its IPO during the may.18th2006and oct.9th2012are used samples and its relevant financial data can be dealt with to regression analysis. firstly, based on comprehensive descriptive statistics, we analyzed the influencing factors of this new phenomenon by several empirical methods like variance analysis, regression test. We found that the numbers of attending the new shares’inquisition for the IPO’s price. the average of The shanghai composite index before5days in the list day, and auditor reputation have a significant correlations.More importantly. this paper proposed a logistic model to predict the phenomenon of the new share breaking on in the first day, which will provide a moreeffective method to avoid the risk of IPO investment.The highlight of the paper is find a variable to mesure the rate of IPO expanding, we can find it has a significant correlation the ratio of return of the new share in the first trading day in all sample from A share market, but it is not when the samples just is the new shares breaking on in the first trading day.In the end of the paper, some measures are proposed to development a efficient A share IPO’s markets.Of course, the model and the model of the paper need more financial or non-financial data from the securities market.