The Market Response and the Main Factors for the Ezpiration of the Lockup in Chinese Stock Market
Based on the dataset of the Chinese stock market during 2006-2008, we first investigate the market response for the expiration of lockup, which results from the integration reform of the tradable and nontradable stocks; next we analyze the main factors which may explain the different market responses. We find that: (1) the expiration of the lockup have a negative cumulative abnormal return(CAR) and a positive abnormal volume(AV); (2) the corporate characteristics have the least explanatory power for the negative CAR, the stock market cycle has the strongest explanatory power, and the lockup characteristics stay in the middle. Our findings indicate the high systematic risk in Chinese stock market.
ezpiration of the lockup lockup characteristics corporate characteristics stock market cycle
ZHAO Xiangqin XIE Leike
Xiamen University, Xiamen, China, 361005
国际会议
The 5th International Sympsium for Corporate Governance(第五届公司治理国际研讨会)
天津
英文
339-350
2009-09-01（万方平台首次上网日期，不代表论文的发表时间）