The Empirical Analysis Of Monthly And Quarter Effect About IPO Underpricing Of Chinese GEM

GEM is not only the cradle of small and medium sized enterprises with good prospects for development,but also an important component of the multi-level capital market system in our country.Its healthy development is beneficial to the growth of innovative enterprises which are mainly composed of high and new technology industries.It is also the important guarantee of national development strategy for independent innovation in our country.The Chinese Gem is established too late to mature enough,many scholars found that Chinese GEM market existing serious market effective phenomenon.Among them,most scholars widely discussed and paid attention to the IPO underpricing and Calendar effect.At present,the study of IPO underpricing and Calendar effect are separated from each other,only a few domestic scholars have studied the IPO underpricing of Chinese stock market with the perspective of Week effect.In this paper,on the basis of existing research,I will use the latest IPO data for the Growth Enterprise Market in China,attempt to study the relationship between IPO underpricing and Calendar effect,mainly including Monthly effect and Quarter effect.The research idea of this paper is to use the combination of theory and practice,comparative analysis,normative analysis and empirical analysis methods to complete this research.First of all,I will introduce the research status of IPO underpricing and Calendar effect at home and abroad.Then,through the detailed introduction of the characteristics and present situation of Chinese GEM,I could build the realistic foundation and put forward the initial guess.Besides,introduction of domestic and foreign existing related theory will help us to find the theory support to establish basic assumptions.Finally,with the latest Chinese GEM IPO data,by using the method of statistics and measurement,we could verify the conjecture and hypothesis,analyze the empirical results,summarize the conclusion and put forward some suggestions.The innovation points contain three parts.Firstly,innovation on research angle.At present,few scholars from the Calendar effect,especially monthly effect and quarter effect,to study the IPO underpricing problem in Chinese stock market.In this paper,on the basis of previous scholars research and integrated use of the theory of IPO underpricing and Calendar effect,I will attempt to study the Chinese GEM IPO underpricing problem from monthly effect and quarter effect.It will help to fill the blank of the research field of Chinese GEM.Secondly,innovation on research idea.Based on the characteristics and current status of the GEM,this article will ensure the possibility of IPO underpricing existing Calendar effect from the "Two Sessions" and the annual report deadline which can affect investor behavior.Then through using the existing related theory to find theoretical basis,I could put forward the basic hypothesis and build the theoretical and practical basis of empirical studies.Thirdly,data innovation.In this paper,the data from June 1,2010 to March 10,2017 listed on the gem in the stock market is more comprehensive,innovative and has more referential and predictive role.This study found that the IPO underpricing of Chinese GEM has significant negative effect in April and in the second quarter.There is also significant positive effect in July and in the third quarter.This phenomenon may be explained with annual NPC and CPPCC which are held on March and the unique time on the disclosure of the annual report in Chinese GEM.