Analyses Of The Variability Of IPO Rrst-Month Returns In Chinese Security Market

As we all know, the return of the IPO (IPO underpricing) does not really reflectthe efficiency of the IPO pricing in the first day.In order to control the phenomenonof IPO underpricing, Shanghai Stock Exchange and Shenzhen Stock Exchange haveintroduced different suspended rules, they will take the appropriate suspended rulewhen the gap of Intraday transaction price is too large comparing to the opening day,or Intraday turnover rate is large. Although the new rules restrain the phenomenon ofIPO underpricing and break effectively, which has also made on its stock pricechanges for the interpretation of the IPO pricing efficiency degree reduced.Therefore, we propose a new method to evaluate the efficiency of IPO pricing on thebasis of the traditional method of pricing efficiency study. We named it the returnvolatility analysis of the IPO in the first month. This method not only can effectivelycircumvent the Department in the first day return policy for IPO pricing efficiencyeffects of alternative aspects, which can be also a more comprehensive responseinitial return of listed shares.In this paper, we will focus on researching the closing price data of the shareson the prior of the twenty-one trading days. First of all, the mean and standarddeviation of new shares yield fluctuations are analyzed. Then we can observe therelationship between initial average returns and volatility by means of multi-variableleast squares (OLS) and maximum likelihood estimation (MLE), and then usingEGARCH model we consider the time sequence change on the influence of the IPOinitial returns and their distribution. In addition, the article also will further discussother possible factors which affect the IPO initial returns volatility and the influence of the yield fluctuation of securities market. Finally, we will compare differentmethods to search the market-clear price using our limited data.