Chinese Main Board, Small Board And Gem Stock Market Underpricing Comparative Study

The IPO underpricing is existing in every stock market, the experts have made a lot ofresearch on this phenomenon. Early researches mostly concentrate on lower issues price,and argue that underpricing are taken by the issuers and underwriters in purpose to makesure public successfully. Chinese stock market is young, and it is not inadequate in theaspect of the system and the traders. So, it influences the IPO underpricing in the primarymarket and the secondary market way.On the other hand, there are differences intransaction system and the IPO underpricing among the Main board, SME board andChiNext board Stock Market We hope to draw some valuable conclusions by comparingthese three markets.This thesis analyses the three markets’ IPO underpricing in three steps. Firstly, weanalyse the pricing efficiency of three markets by principal component factor analysis, andget the conclusion that these three markets have different pricing efficiency before2012,and have little difference in pricing efficiency after2012. Secondly, we analyse the IPOunderpricing by investor sentiment in two steps. One uses the IPO underpricing asdependent variable, and the other uses the opening price earning ratio as dependentvariable. We get the conclusion that the opening price earning ratio is the main reason ofIPO underpricing. And the investor sentiment has significant effect on the opening priceearning ratio by influencing the behavior of the investors in the stage of aggregateauction..This thesis is divided into six parts. The first is the introduction, it includes thesignificance of this thesis topics, literatures review and the innovation and shortcoming ofthe study. The second is theoretical basis. The third is the comparison of the three markets’evolution of the pricing mechanism. The forth compares the differences among these threemarkets’ IPO underpricing and the differences before and after the publishment of2012IPO regulation and after it. The fifth investigates the impact factors of IPO underpricingrespectly from the primary and secondary stock market. The last part based on ourconclusions gives some suggestions to improve the IPO pricing efficiency.