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.
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
.
DOI: 10.1007/s12204-016-1702-7
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