An Empirical Research On IPO Underpricing And Trading Volume In Chinese Stock Markets

IPO (Initial Public Offerings) market is always the hot topic under consideration through capital market. Since 1960s, all sorts of abnormal occurrence within this market have initiated comprehensive reflect and inquisition, a considerable body of literature have provided various theories about it. In our country, with short history of IPO market and completely different environment, our understanding of this market is limited, especially the variation in IPO volume has received little attention. This article will focus on this problem. We want to examine the relation between observed fluctuation in IPO volume and ratio of underpricing via VAR model. Economic variable will also be allowed to explain the cyclical behavior observed in IPO market in the model.The result show that trading volume is affected by IPO underpricing, but here exist 5 months lag; also trading volume affect IPO underpricing, but you can neglect this influence when study the problem of underpricing; trading volume have a significant correlation with market indicator variable.From the result, we can say Chinese IPO market is still not perfect and rational market which always is regarded as our goal of reform. More freedom are strongly needed in our IPO market in the near future.