The Impact Of The First-day Income Limitation Policy On The Abnormal Income Of China's IPO

In order to explore the impact of the new stock first-day income limit policy on IPO abnormal returns,combined with the classical interpretation theory and hypothesis about IPO underpricing,using descriptive analysis,multiple regression analysis,precise breakpoint regression and score-prone matching method for 2009 In the year of 2018,a total of 1,798 initial public offerings of China A-shares,small and medium-sized boards and GEM were empirically studied.The empirical results show that the policy of suppressing the high profit rate of IPO has significantly increased the rate of return,and even made it a risk-free income in the early stage.According to this paper,this policy does not meet the original intention of implementation.On January 12,2019,Vice Chairman Fang Xinghai of the China Securities Regulatory Commission proposed "recommended to cancel the limit of the first day of the new shares",which is consistent with the research judgment of this article.First of all,this paper summarizes the classical theory and research on IPO abnormal returns at home and abroad,which helps the empirical part of this paper to select the corresponding indicators.Secondly,it introduces the introduction and goal of the IPO first-day income limit policy,and thus establishes the main research direction of this paper,that is,whether the policy has played a role in curbing speculation and speculation,and reducing the abnormal return rate of IPO.Through research,this paper summarizes the changes brought by this policy to China's IPO market into "three characteristics",that is,the IPO stocks on the first day generally reach the upper limit of the limit imposed by the set-up policy:the phenomenon of the second-new period is "more common and more Long-term";there has been no trading volume in the early days of IPO.Through the discussion,it is found that the traditional theory of ups and downs can not effectively explain the "three characteristics".For this reason,this paper introduces the theory of anchoring effect and herding effect in behavioral finance,and the three characteristics from the psychological expectation perspective."An innovative explanation was made.Thirdly,this paper selects 1798 IPO stocks from A-shares,SMEs and GEM in 2009-2018 for empirical research,as follows:Descriptive analysis and scatter plots for intuitive judgment;Multivariate OLS analysis of policy effects and determination of IPO correlation The impact index;the breakpoint regression reflects the causal relationship between the policy and the IPO yield after controlling the covariate,and concludes that the set-limit policy causes the IPO income to "jump up";the PSM analysis is used to test the robustness and control the sample selection bias.Mistakes and endogenous issues.In the end,the conclusion of this paper is that the IPO first-day income limit policy has not only failed to reduce the abnormal returns,but also curbed the speculative effect of speculation.Instead,it has boosted the irrational sentiment of the market,resulting in further expansion of the IPO revenue scale.This trend has spread to almost every IPO stock after the policy is introduced.In summary,this paper proposes to cancel the first-day income limit policy.