The Study On The Market Effects Of Lockup Expiration Of Restricted Shares On GEM

This paper studies market effects with Event Study Method and Cross-sectionalRegression, based on719samples of lock-up period expiration of313companies ofGEM. The sample spacing of this paper is2009-2013. Event Study finds thatcumulative abnormal returns show typical V-shaped fluctuation characteristic in thewindow period of the first lockup expiration and the morphology changes from negativeto positive in the second window period. It shows that price decline of the first supplyshocks is greater than the second. There exists significant differences on abnormalreturns and the volume of lockup expiration for the twice, but the trading volume has nosignificant one. The number of the second actual reduction is few. Abnormal returnsappeare alternating positive and negative changes in the third window period. Thereexists significant differences on trading volume, abnormal returns and the volume oflockup expiration for the twice.Regression results show that the first supply shocks have significant negative priceeffect, price elasticity of demand for the stock is about8.3. When supply shocksincrease by100%, the cumulative abnormal returns decrease by approximately12%.Butthe second not, price elasticity of demand for the stock is about25, when supply shocksincrease by100%, the cumulative abnormal returns decrease by approximately4%. Thethird supply shocks have significant negative price effect, price elasticity of demand forthe stock is about0.33. When supply shocks increase by100%, the cumulativeabnormal returns decrease by approximately305%. Firm size and trading activity havesignificant positive impacts on stock price, but ownership concentration and thepresence or absence of venture capital have no significant ones. However, ownershipconcentration and the presence or absence of venture capital in the third process oflifting has no significant effect on stock price.