The Research Of IPO Industry Effect In Our Stock Market

IPO is the entrance of enterprises to into the secondary market to raise funds. China's securities market since its inception, as of 2015, a total of 3001 companies has did IPO, while these three thousand times of IPO shelp to make listed companies raise 2.3951 trillion funds. So it has a pivotal role for the operation of the market. So IPO has been the hot topic for many scholars at home and abroad. When previous studies contact Sector Impact with IPO, IPO Industry Effect was found, and draw a conclusion of that IPO can bring excess returns to other stocks in the same industry sector. By the time of the relevant literature, we found that the previous data of IPO Industry Effect was from 1997-2007,does this effect still exists after the year of 2005? And based on the different investor sentiment, what the IPO Industry Effect will be like? Academic research on this aspect is almost empty.Based on the above two issues, we carried out research on IPO Industry Effect by using the Event Study and the model of FFJR. This article altogether is divided into six chapters, each chapter is as follows:Chapter 1 is an introduction. The first part introduces the research background, significance, ideas and innovation and the insufficiency of this article.Chapter 2 is the literature review. This chapter is related to domestic and foreign literature on the IPO three visions and IPO Industry Effect. We found that in our market there is a higher rate of underpricing and a long-term Underperformance phenomenon.Chapter 3 describes the methods for testing existence of IPO Industry Effect, that is Event Study and model of FFJR, and introduces the data sources and data processing.Chapter 4 is the Empirical Analysis of IPO Industry Effect. Based on our results, we found that the average mean of excess return is 0.0085, the event window span is 13.12 days, about two weeks, then we. can get that the annualized excess return is 23.56%. And by the hypothesis testing of mean of to return rate be 0, we obtained a significant existence of IPO Industry Effect, and it can bring a positive excess return. To ensure the reliability of the results of our conclusion, we did a research to test the robustness of the results by extending the length of the event window, which is the same with our previous conclusion. We explain this phenomenon by Price Comparison Effect and industry information effectChapter 5 is an Empirical Study of IPO Industry Effect under the background of Bull and Bear. This chapter introduces the definition of a bull market and a bear market, and the Bull and Bear Market division method. This chapter selection amended BB turning point dividing method, the sample data is divided by the standard into two bear markets and three bull markets. Finally, we concluded that the average excess return in bull market is 0.02805, in a bear market the average excess return is -0.001460.However, the existence of IPO Industry Effect in a bull market is significant, but in the bear markets it does not exist. According to such a result, this chapter analyzes a cause of it, respectively, from the investor sentiment, investor structure and CBBC City Investors'imbalant reaction to news these three aspects.Chapter 6 is the conclusion and recommendations. This chapter summarizes the results of our studies, obtained existence of IPO Industry Effect in our market. And in a bull market IPO Industry Effect is significant, but in the bear market it does not exist. Therefore this provides an effective investment strategy to the majority of investors, that is holding the old shares in a bull market, then you can get some benefits.The main results of this study can be summarized in two aspects:First, examine the effect of IPO Industry Effect after 2005.The existence of IPO Industry Effect can bring positive excess returns, which provide investors with an efficient investment; the second is in the background of a bull market, IPO Industry Effect exists significantly, but in a bear market it does not exist significant. This makes up for the vacancy academic research about significant at Bull and Bear markets. This improved the research about IPO Industry Effect, but also enrich the academic field of the Understanding and Exploration to IPO. And for data processing, I did have done some innovation compared with the previous studies. This paper conducted a more sophisticated data processing to exclude some stocks which there is another IPO in the same industry during a mouth before it. But also excluded the number of companies in same industry plate which is less than five. This can effectively avoid the impact of long-term Underperformance and the impact between two IPOs. However, this paper did not do the research of the factor to maximum the excess rate of return in detail, but also did not carry out a detailed comparative study of IPO Industry Effect among different industries. All of these is not thoroughly studied, and should be improved.