A Study Of "Hot Issue Market" In Chinese Stock Market Based On Time Series

The Initial Public Offering(IPO) market establishes the key relationship among enterprises and their investors, As an important financing method for enterprises, IPO market builds the foundation for the secondary market. So it is of great importance to make the research to initial public offering market. As one of the three topics in IPO market, the "hot issue market" has been studied in the western country. Most of the researches of the "hot issue market" check the relationship between the number of IPO and the return of IPO. Generally speaking, the increasing number of IPO just appears after the higher return of IPO which was verified by many empirical researches. However, the stock market in china has been there for a shorter time than its counterpart in developed countries and the system is not consummate, there are fewer researches of this topic and there is not consistent opinion about the fact that whether the "hot issue market" exist in our country.Our paper use the ADL model to analyse the number of IPO and the return of IPO based on the researches that economists had done. Considering the importance of system in our country, we divide the whole sample into two sub-samples: Jan-1996 to Mar-2001 and Apr-2001 to Sep-2004. The result is: the "hot issue market" is not significant when we do the research in our first sample and is significant in our second sample. At last, we make analysis to the result based on our country's special system.