An Empirical Analysis On The Expiration Effect Of The IPO Lock-up Period In Chinese Growth Enterprise Market

IPO lock-up period is a period after an initial public offering and listing, specificshareholders are not allowed to sell their shareholdings in this period.The purposes ofIPO lock-up are restricting the sale of existing shareholders, preventing them making useof the premium caused by initial public offering and listing, avoiding excessive supplyshocks in the secondary stock market and maintaining the stability of the market.IPOlock-up has significance impact in regulating financing purpose of listed companies andsafeguarding the small investors’ rights and interests. From October30th,2012, somelisted companies in Growth Enterprise Market of China are experiencing relieving their36months IPO lock-up period, Due to China GEM has some characteristics such asweaker stability, higher PE ratio and heavier Speculation, the released stocks held bycontrolling shareholders、actual controllers and other major shareholders will causeabnormal change in transaction price and volume, analysis the characteristics and reasonsof abnormal change can reflect and even solve the existing problems of China GEM,thus China GEM will be further improved and play a better role of financing.This paper selects81listed companies of China GEM which relieved IPO36months lock-up period as the research object. Firstly determining the sample size and theresearch window, secondly using the collected data to calculate AR、CAR and AV,observe the changes of AR、CAR and AV in the window period, the results find thatrelieving IPO lock-up causes significant negative abnormal returns and expands thevolume. In addition, set up stock price-quantity model which consider increased demandcaused by increased liquidity, get CAR-1～+3as the explained variable, get expansionpressure, stock prices change when released, scale of listed company, the company’soperating performance and short-term average abnormal trading volume as explanatoryvariables, establish a multiple regression equation, studing the influence factors of CARand stock demand elasticity. The results find that the impacts of expansion pressure,company’s operating performance and short-term average abnormal trading volume aremore significant in terms of both economics and statistics, and stock demand elasticity isvery big. At last, analyze the reasons of abnormal changes of the price quantity affected by relieving IPO lock-up, and give some advices about market policy to differentparticipants in stock market.