Affecting Factors And Problems Of Investor Sentiment In IPO Market

Since the establishment of the stock exchange in China,the issuance market has also experienced more than 20 years of development,which is a growing market,but also exposed a lot of problems.Some of these problems are common in the world wide stock market,such as the high underpricing rate in IPO,but some are particular in China such as the enthusiasm in new shares.Behavioral finance classifies this issue as a reflection of investor sentiment.Based on this theoretical framework,this paper will discuss the issue of China’s IPO market.This paper contains three main parts.Firstly,this paper explains the connotation and measurement indicators of investor sentiment and then chooses the lot winning rate as the indicator of investor sentiment in chinese issuance market on the base of an explaination of the feasibility and validity of the choice.Based on the selected explanatory variables,this paper builds the basic model from fundamental,market and technical aspects.And the net income per share,net asset per share,price to earnings ratio,market return over the period rate, the market return rate of one delayed period, previous integrated lot winning rate were choosed as the explanatory variables of the lot winning rate.After the establishment of the basic model,researching sample is selected through the last 20 years of new stock issuance data,and then use empirical research methods to test whether the six factors have an effect on the investor sentiment.Secondly,two problems in chinese IPO market are discussed based on the basic model in the first part:the problem of excessive speculation and policy intervention.To fullfill the first one,different types of investors in the markett are analyzed,and compared to the individual investors,the institutional investors have the characteristics of a rational investor.So the investors in this part are divided into institutional investors and individual investors.Through a comparative study of the similarities and differences between the two investors,the problem of over speculation in the two can be seen. In order to analyze the second problem,current deposit rate is choosed as the substitute variable of goverment policy.On the base of the variation trend and characteristics of the rates,the whole sample is divided into nine subintervals.Eight dummy variables are introduced into the basic model to distinguish between the nine subintervals.Then the difference can be analyzed by regression analysis.Thirdly,on the base of the first two parts of theoretical framework and empirical research,this paper gives policy recommendations from three aspects on the background of the current IPO registration system reform.The advices include setting the value investment philosophy,optimizing the investor structure of the market and being cautious when use intervention policy in the stock market.On the whole, the innovation of this paper is reflected in several aspects:first, the new research angle.At present,there are many researches on investor sentiment,which focus on the influence of investor sentiment as an explanatory variable on the market return and other variables.This paper will analyze the factors that may influence investor sentiment.Then,some useful conclusions are drawn through empirical research.The conclusion of this paper are as follows:the investment behavior in the IPO market is irrational;institutional investors and individual investors both have the problem of over speculation,and the individual investors are more serious;the impact of government policies on the issue of new shares is uncertain.Finally,according to the conclusions of the study and the present situation,some useful suggestions are put forward. Reform is a long-term, gradual and systematic work.In the process of reform, a series of supporting system reform and policy are needed.