IPO限售股解禁的市场反应研究-基于沪深300成份股

Market Reaction of the Expiration of IPO Share Lockups-based on the CSI 300 Constituent Stocks

限售股解禁是公司股份上市衍生的事件,对股票市场的影响受到市场参与者的广泛关注。本文基于沪深300成分股对2012至2014三年间的IPO限售股解禁事件进行研究,发现样本股票有显著为负的累积异常收益,并且具有一定的持续性,说明解禁事件对股票收益有影响。本文还进行分组分析和横截面回归分析,发现股票的交易活跃度、公司实际控制人性质、解禁规模等因素对解禁期间股票异常收益产生影响。

Share lockups are derivative events of listing and its impact on the stock market has attracted more and more attention. So it is meaningful to study about expiration events of share lockups. This paper studies the expiration of IPO share lockups from 2012 to 2014, based on the CSI 300 constituent stocks. Sample stocks ＇ cumulative abnormal returns are significantly negative, and have a certain degree of persistence in the event window period before and after 20 days of the expiration date. This result indicates that expiration events will affect stock price. This paper then makes packet analysis and cross-sectional regression analysis, finding that sample stocks＇ abnormal returns are effected by stock trading activity, the actual control of the company,company scale.