The Correlationship between the First-day Return and the Investor Sentiment on the GEM Board in China

摘要：

First-day returns of IPOs on Chinese GEM board are described and examined in this paper, and then the overvaluation is found some way. By selecting agent variables based on the investor sentiment theory, we show the correlationship between the first-day return and the investor sentiment, and construct the investor sentiment index on the GEM board. Our perspective is threefold: Firstly, on the GEM board, the first-day return of IPOs is positively related to the turnover, the divergence of opinions and the investors’ confidence degree. Secondly, the ISI constructed with the three variables above can curve the return quite well. Thirdly, the correlation between the first-day return and the former one is not so significant.

关键词： Initial Public Offering First-day Return Investor Sentiment Index GEM board

作者: DaPing-Zhao Yong-Fang

作者单位: Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing, 100190, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 645-648

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）