中国A股股票需求弹性——基于全流通IPO锁定期解除效应的实证分析

Price Elasticity of Demand for Common Stock in A-share Market:An Empirical Study on Full-circulation IPO Lock-up Period Expiration

本文对A股全流通发行后265家IPO公司432次锁定期解除样本进行实证研究,发现在事件日前后有显著的价量效应。自T_(-8)日至T_(+2)日,平均累计异常收益率为-2.3%,且在随后两个月内没有出现反转;在事件日,发现有163.2%的异常成交量,其后快速回落至33.2%的永久性异常成交量。本文建立了一个包含流动性改善变量的新模型以修正传统单变量模型,实证结果支持新模型,估计的A股需求弹性为-52.73,表明股票需求曲线相对平坦,基于IPO锁定的大小非解禁纯供给量因素不会导致股票价格显著下降。

The paper empirically studies 432 samples of lock-up period expiration of 265 companies＇ IPO after full-circulation offering of A-share. A notable price-volume effect is found before and after the day of expiration ： from the day of T-8 to T ＋ 2, the average cumulated abnormal return is - 2. 3% and no reverse is seen in the next two months whereas 33.2% permanent abnormal trading volume is found after the day of expiration. The authors set up a modified model that contains a liquidity effect variable to amend the traditional single-variable model. And it is proved that the empirical result backs this new model The estimated elasticity of A-share de- mand is - 52. 73, which indicates the curve of stock demand is relatively flat and a remarkable price fall will not be caused by pure supply factor, as the non-tradable shares are free for circulation on the market.