IPO pricing is notIPO pricing is not only one of the most important research topics in the finance field, 
but a difficult problem that has plagued China's financial market. Basedone of the most important research topics in the finance field, but a difficult problem that has plagued China's financial market. Based on the theory of behavioral finance, the dynamic relationships among investor sentiment, stock market volatility and IPO pricing are studied by the Structural Vector Autoregression model with the Time-Varying Parameter of Stochastic Volatility (SV-TVP-SVAR). There are strong time-varying characteristics and impulse responseresponses among three indicators and further confirmed thatconfirmation that investor sentiment and stock market volatility have played a "zoom in" mechanism in IPO pricing. Finally, the study summarized and put forward some suggestions.