The Lock-Up Period In the Chinese Stock Market Reform: Implications for market efficiency and downward sloping demand curves
26.03.2009
26.03.2009
12:00 - 13:00
Milan
Fondazione Eni Enrico Mattei
Corso Magenta 63
20123 Milan
h. 12.00 Seminar
h 13.00 Light Lunch
Francesca Polatti, francesca.polatti@feem.it
This paper investigates volume and price patterns around the lockup expiration in the recent split share structure reform in China. We find that, even though the events are totally anticipated, there is a drop in the stock price, and an increase in volume, when the lockup ends. We discuss our results to the light of the Petajisto (2008) model and we provide supportive evidence to his main implications. Specifically, we find that the slopes of the demand curve are negatively related to firm size and positively related to idiosyncratic risk.
Attachments
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The Lock-Up Period In the Chinese Stock Market Reform: Implications for market efficiency and downward sloping demand curves
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