The Lock-Up Period In the Chinese Stock Market Reform: Implications for market efficiency and downward sloping demand curves
12:00 - 13:00
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.