The Risk Assessment Of Stock Market Falling Based On Lasso Punishment Cox Regression Model

For a long time,the problem of stock falling below the initial offer price has been bothering the securities market among various countries.Therefore,researches on the issue of stock falling are often seen.With the development of China's stock market in recent years,the number of listed companies is continuously increasing,and the phenomenon of stock falling appears frequently.From 2010 to 2012,new shares fell below the initial offer price in large areas,some new shares even fell on its first day of trading.Then,IPO was suspended until January 2014.After IPO restarted,phenomenon of new share falling was preliminary improved.However,the good times did not last long.Stock of Red Dragonfly,Buchang Pharma,and Triangle Tire successively fell in the end of 2017.These three companies went public in recent two years.Stock falling below the initial offer price has been mentioned by people gradually.The continued falling of stocks not only violates the principle of healthy development for stock market,but also seriously damages the interests of listed companies,investors and even underwriters.Therefore,it is of vital significance to study the phenomenon of stock falling,find out its influencing factors and essential reasons,and then provide certain theoretical support for the rational regulation of the stock market.In this research,132 falling stocks or stocks close to falling from 2010 to 2017 were taken as samples.First of all,2014 was taken as the time node.The falling stocks in two phases,2010 to 2014 and 2014 to 2017,were descriptively analyzed.The influence factor of stock falling was preliminarily found out.Then,based on the total samples,the Lasso variable selection method was used to screen out indexes which significantly influence the stock falling.Cox prediction model of stock falling was established.The influence director and degree of each index were quantitatively given.Then,the given model was optimized to get hierarchical Cox model based on time interval.At last,the Lasso punishment Logistic regression model results were compared.The analysis showed that the stock falling during 2010 to 2014 and stock falling during 2014 to 2017 presented different characteristics.The stock falling before 2014 was broader and larger than that in the following period.The stock offer price,the first-day underpricing rate,the falling degree,the Shanghai stock index,the Shenzhen index,and other indexes significantly impact the stock falling.Among them,the falling degree,the first-day underpricing rate and the Shenzhen stock index have inhibitory effect on stock falling,while the stock offer price and the daily turnover rate of total shares are the driving forces.The Lasso punishment Cox model is better than Lasso punishment Logistic model in the study of stock falling.Finally,according to the theoretical analysis and practical fitting results,corresponding countermeasures and suggestions were proposed.The responsibility of each party in market shall be implemented to improve rationality of new share pricing,the information disclosure system shall be constantly perfected to enhance market transparency,and the professional quality of investors shall be increased to create a good market environment.