| As one of the important driving forces to realize the coordinated development of primary and secondary markets,the reform of new share subscription system has been attached great importance to by China’s regulators.After the reform of the new share subscription system in 2015,the lot winning rate of new shares fell like a cliff,which made new shares online subscription yield decrease.Gradually,new shares online subscription yield reaches the same trend with the risk-free rate of return,and the margin becomes smaller.At the same time,with the improvement of information disclosure in China’s securities market,the whole market pays more attention to the information of company fundamentals,and investment judgment relies more on fundamental analysis,thus forming reasonable expectations,which is conducive to the formation of a rational investment atmosphere in the primary and secondary markets.From the perspective of the market,this paper selected the new shares online subscription yield from 2014 to 2017 in the a-share market as the research object,selected corresponding indicators according to the research purpose,and made empirical analysis by using Wilcoxon test,principal component analysis,multiple regression,propensity score matching method and other methods.The results show that the system reform has a significant negative impact on the online subscription yield of new shares.From the perspective of components,the system reform has a significant positive impact on the number of days of pricing out of market and the number of days required for audit,and a significant negative impact on the lot winning rate.From the perspective of influencing factors,the cost of capital has the most significant impact.The influence of fundamental factors increases after the reform,and macroscopic factors’ influences change.Based on the empirical results,this paper draws the following three conclusions.First,the reform of the IPO subscription system has a significant negative impact on the online subscription yield of new shares.The gap between the online subscription yield and the risk-free yield has been gradually narrowed,and the significance of the gap has been reduced,which is mainly caused by the rapid expansion of new share demand from this reform.At the same time,according to results of literature review analysis and propensity score matching method,the maturity of China’s primary market and secondary market has been improved.However,there are still arbitrage opportunities between the two markets in China.Second,the system reform makes some basic conditions change,including the relative size of the lot winning rate,the days required for audit and constraints of economic cycle to the new shares online subscription yield.Third,the market is more rational.The subscription activity relies on rational analysis of the fundamentals and relevant information of the IPO company instead of the reputation and judgment of the underwriters.Finally,this paper puts forward three suggestions according to the conclusion: first,adjust the supply and demand of new shares in the primary market;Second,reduce the additional time cost of new issue;Third,to further improve the effective information disclosure of new shares,guiding the secondary market rational investment. |
