| How do IPOs influence the stock market?We start with the funding frozen of IPO shares allocation,proceed from the relationship between the funding liquidity and market liquidity to deal with this problem.The result of Propensity Score Matching and Difference-in-Difference approach,shows that the influence mechanism of IPO on stock market originates from funding frozen of IPO shares allocation,under the significant substitution effect between Chinese IPO shares allocation and lottery like stocks,and also the link between funding liquidity and market liquidity,price impulse by trade volume increases and the market depth lowers significantly.Further analysis finds that,the substitution effect of Chinese IPO shares allocation to lottery like stocks and the influence of the IPO funding frozen on market liquidity are anterior,investors prefer preparing the frozen fund of IPO shares allocation by shorting lottery like stocks ahead of time.Besides,the policy of cancelling IPO allocation funding frozen effectively improves the negative effect on market liquidity.However the robustness check reveals that,the influence on market liquidity is more pronounced for the recovery and revision of IPO shares allocation in the market value held by investors.Furthermore,the pause of IPO has no significantly negative effect on our conclusion.What’s more,after canceling the rule of frozen fund in 2016,the influence on market return by Chinese IPO shares allocation weaken significantly,which shows that the conclusion of the influence mechanism is reliable to some extent.These results indicate that the influence on market liquidity should be taken into consideration,when the changes of funding liquidity are made by the improvement of operating rules in the capital market especially the stock market. |
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