The Impact Of The Lock-up Expiration Of The GEM Board Restricted Shares On Stock Returns

GEM is to serve the high-tech enterprises in the initial stage of establishment.Due to the high risk and high growth of gem,the risk of investing in gem listed companies is higher Therefore,investors are faced with higher risks when it comes to the issue of lifting the ban on limited sales of shares.Moreover,the gem has not been established for a long time,and the regulatory system of the government regulatory authorities on this issue is not perfect,making it more difficult.This paper analyzes the market reaction to the lifting of the ban on restricted share sales in the gem market,draws conclusions and puts forward Suggestions.First,we use the event research method to analyze the market reaction of the stocks in the 10 trading days before and after the lifting of the ban on the gem market by taking the lifting of the ban in the past two years as the research sample.The AAR and average CAR in the event window were calculated according to the return rate of gem index on that day as the normal return rate.The event study shows that:on the whole,the CAR of stocks during the period of lifting ban is significantly negative,and there is indeed a lifting effect.However,the reaction before and after the lifting of the ban is different.The AR before the lifting of the ban is significantly negative,and positive AR appears in most trading days after the lifting of the ban,but the CAR is still negative,indicating that the stock price decline before the lifting of the ban is greater than the rise after the lifting of the ban.According to the theoretical analysis,in the later period after the lifting of the ban on restricted share sales,the stock price should decrease with the increase of supply,but after the lifting of the ban,the stock has positive AR.Type of restricted stock is discussed in this paper,for all kinds of restricted stock,AAR and the CAR in the event window period change trend and market as a whole is the same,starting in the original shareholders and equity incentive model of restricted stock reaction intensity is greater than the overall market reaction,consider restricted stock volatility is relatively stable in the event window.Then,the result of the analysis shows that:the bad correlation between CAR and the ROP caused by the lifting ban event,and the significantly negative correlation between the lifting ban market RV,indicating that the larger the lifting ban is,the smaller the cumulative abnormal return rate of the stock will be.There is a significant positive correlation between ASV and STR.To a certain extent,the lifting of the ban can increase the liquidity of the stock market and thus improve the stock yield.There is a significant positive correlation between the SOM and the lifting of the ban by the original shareholders of the IPO,but there is no significant influence between the private placement and the restricted share with equity incentive.Company size and market valuation have no significant influence on stock return.In the regression of the sub-samples,it is found that the change in the number of investors has a more significant impact on the stock return when the ban on restricted shares is lifted in the private placement,and the change in EPS has a more significant impact on the stock return when the ban on restricted shares is lifted between the original shareholders of the IPO and the equity incentive restricted shares.Finally,in view of the above conclusions,policy Suggestions are put forward from the three aspects of investors,lifting the ban on companies,and regulatory authorities.