A Study On Lifting Effects Of Non-tradable Shares From China Growth Enterprise Market

The non-tradable shares from the reformation caused the Chinese stock enter into bear market.The non-tradable shares from the Initial Public Offering in GEM market bring risk to investorsas well. Now the lockup agreements of the controlling shareholders are going to pass the3yearslock-up period. Therefore，base on summarizing the current problems from lock-up expiry，orproviding reference to the investors for analyzing the risk from the lock-up expiry of thecontrolling shareholders，it is meaningful to make a research about the effect on the market fromthe lock-up expiry.We take financial market micro structure theory as basement，high frequency data fromGEM market as sample. Then we use MRR model to decompose the bid-ask spread intotransaction cost and adverse selection cost，which we took as the index variable of theinformation asymmetry of market. We also exam the effects on the price，volume from the IPOlock up expiries.The result shows that lockup expiry causes an increase in price before the date of expiry，and the price is stable after the date of expiry. There is significant increase in the trading volumeafter expiry. After expiry，the adverse selection cost decrease significantly. Moreover，we examthe effect on adverse selection cost in the sub-samples，which are sorted according to IPO underpricing，IPO price to earning，price and market trend.At last，base on the above empirical results，some suggestions are given，which are aboutreforming the listing policy，delisting policy and strengthening the revealing policy.