The Impact Of IPO On The Fluctuation Of Shanghai Stock Index

The volatility problem in the stock market has always been the hot topic of the finance researches. Moderate fluctuation in the stock market is of great significance to achieve the efficient allocation of resources, but excessive volatility will damage the transmission mechanism of stock price and market efficiency. It needs to be noticed that while the new issue has been greatly increasing, there is a larger volatility in our stock market. It has brought adverse effects to the healthy development of national economy in China. So the analyses of the effects of IPO on the fluctuation of Shanghai stock index has important research significance. From the empirical point of view, this paper has an intensive research on the influence of the new issue on the fluctuation of the Shanghai stock index by combining theoretical analysis and empirical test.This article include five parts. Introduction is the first part. The second part is literature review. The third part is the theoretical analyses. The fourth part is the choice of research methods. The fifth part is the empirical test and the sixth part is the conclusion and policy recommendations. Specifically, in this paper, the introduction part includes the significance of the selected topic, main content and innovation points and deficiencies and so on. Literature review part mainly introduces the research status on IPO, stock market volatility and the correlation between them of domestic and foreign scholars. The theory analysis part mainly expounds the present situation of the issue of IPO in our country and the transmission mechanism of the impact on stock market because of IPO financing. The choice of research methods. This chapter elaborated the selected research methods of the paper, including multilayer perception neural network, the VAR model, ADF test, granger test, impulse response function, variance decomposition and so on.The empirical test part. 278 IPO companies listed on the Shanghai stock exchange from June 2006 to February 2016 are selected as the research object. The IPO and stock market volatility are quantified by four indicators-the amount of raising fund, release frequency, total underpricing rate, the Shanghai index yield. Specifically, this paper makes analyses and verification on the relations between the IPO and the volatility of Shanghai stock index respectively through descriptive statistics, multi-layer perceptron neural network and the method of VAR model.Conclusions and policy recommendations. The paper has the following main conclusions on the basis of the empirical test. First, the IPO of listed companies will be really harmful to the Shanghai stock index. Second, the total amount of new shares to raisemoney in the short term on the fluctuation of the stock market is the largest, second is release frequency, and underpricing rate has minimal impact. But in the long run, the issue frequency of new shares began to work, becoming the most influential on the Shanghai index yield. Third, the Shanghai index yield will produce a positive effect on the IPO. On the basis of above researches and combining with the actual situation of Chinese stock market, this paper puts forward three policy suggestions. First, the securities regulatory departments should control IPO issuance rule and frequency reasonably. Second, securities regulators should adhere to the marketization of the new issue pricing mechanism and develop complete delisting mechanism and reduce the excessive speculation of investors.Third, ordinary investors should make appropriate investment strategy and build up the idea of value investment according to the IPO issuing scale and rhythm.