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

doi:10.1007/s12204-016-1702-7

Abstract

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

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

CLC Number:

F 830.91

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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