The Impact of Initial Public Offering Lockup Expirations on Liquidity: Evidence from Chinese Stock Market

doi:10.1007/s12204-016-1702-7

上海交通大学学报（英文版） ›› 2016, Vol. 21 ›› Issue (1): 81-89.doi: 10.1007/s12204-016-1702-7

The Impact of Initial Public Offering Lockup Expirations on Liquidity: Evidence from Chinese Stock Market

CHU Xiaojun (储小俊)

(1. School of Economics and Management, Nanjing University of Information Science & Technology, Nanjing 210044, China; 2. Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200052, China)

出版日期:2016-02-29 发布日期:2016-03-21
通讯作者: CHU Xiaojun (储小俊) E-mail:lpchxj@nuist.edu.cn

The Impact of Initial Public Offering Lockup Expirations on Liquidity: Evidence from Chinese Stock Market

CHU Xiaojun (储小俊)

(1. School of Economics and Management, Nanjing University of Information Science & Technology, Nanjing 210044, China; 2. Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200052, China)

Online:2016-02-29 Published:2016-03-21
Contact: CHU Xiaojun (储小俊) E-mail:lpchxj@nuist.edu.cn

摘要/Abstract

摘要： Previous empirical evidence on the liquidity effect to the lockup expiration is mixed. A sample from Chinese listed firms is adopted and contributes to better understand this effect in emerging markets. The spread and illiquidity significantly increases around lockup expiration in China. Furthermore, the liquidity reaction to firms’ disclosure quality is explicitly related. The results confirm that higher disclosure quality is significantly associated with lower abnormal spread and illiquidity impact. The effect of lockup expiration shares on liquidity proxies differs in firm disclosure quality. Identifying the factors affecting liquidity around such events may help regulators develop policies to provide investors with greater confidence in their investments.

关键词: initial public offering (IPO), lockup expirations, liquidity, insider trading

Abstract: Previous empirical evidence on the liquidity effect to the lockup expiration is mixed. A sample from Chinese listed firms is adopted and contributes to better understand this effect in emerging markets. The spread and illiquidity significantly increases around lockup expiration in China. Furthermore, the liquidity reaction to firms’ disclosure quality is explicitly related. The results confirm that higher disclosure quality is significantly associated with lower abnormal spread and illiquidity impact. The effect of lockup expiration shares on liquidity proxies differs in firm disclosure quality. Identifying the factors affecting liquidity around such events may help regulators develop policies to provide investors with greater confidence in their investments.

Key words: initial public offering (IPO), lockup expirations, liquidity, insider trading

中图分类号:

F 830.91

CHU Xiaojun (储小俊). The Impact of Initial Public Offering Lockup Expirations on Liquidity: Evidence from Chinese Stock Market[J]. 上海交通大学学报（英文版）, 2016, 21(1): 81-89.

CHU Xiaojun (储小俊). The Impact of Initial Public Offering Lockup Expirations on Liquidity: Evidence from Chinese Stock Market[J]. Journal of shanghai Jiaotong University (Science), 2016, 21(1): 81-89.

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The Impact of Initial Public Offering Lockup Expirations on Liquidity: Evidence from Chinese Stock Market

The Impact of Initial Public Offering Lockup Expirations on Liquidity: Evidence from Chinese Stock Market

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