首日涨停板制度与IPO解禁效应——基于投机泡沫视角的分析

本文以2006—2016年上市的1397家公司为研究样本,实证检验了首日涨停板制度对新股解禁效应的影响。结果发现:首日涨停板制度实施期间发行的新股,解禁时有显著更差的市场表现,[-30,30]窗口期间的超额回报低至-8.43%,同时有更小的异常交易量和异常波动率;新股上市时股价高估程度越大、投资者情绪越高,首日涨停板制度对解禁效应的影响越强。上述结果支持了Hong et al.(2006)提出的"解禁与资产泡沫破灭"的理论,即首日涨停板制度导致新股发行后投机泡沫累积,投机泡沫破灭导致解禁时更大幅度的股价下跌。本文的研究结论补充了首日涨停板制度后果的文献,并对防范金融风险和完善新股市场化改革具有一定的政策参考价值。

The First-Day Daily Limit System and IPO Lockup Expirations: An Analysis Based on the Perspective of Speculative Bubbles

China began to implement the first-day daily limit system at the end of 2013. The system stipulates the effective price of a new stock in the collective bidding stage not to exceed 120% or be lower than 80% of the issue price, and the effective price in the continuous bidding stage not to exceed 144% or be lower than 64% of the issue price. This policy causes the stock price of most companies to increase by about 44% on the first listed day. There are even continuous stock price increases up to the 10% limit, which is the regular stock price limit in China, for several days after an IPO. Investors in the market become much more active and irrational, leading to a serious sub-new-share-price bubble because of the first-day daily limit system.Hong et al. (2006) have proved that the restriction of sales will lead to a stock price bubble. Their model predicts that the greater the stock price bubble before IPO lockup expirations, the greater the stock price decline afterwards. The theoretical model of Hong et al. (2006) is consistent with our observation of the Chinese market. An unprecedented sub-new-share-price bubble caused by China's first-day daily limit system provides an ideal setting for testing Hong's theory. The previous literature on China has not paid enough attention to recent IPO lockup expirations and does not consider the impact of new stock price controls or speculative bubbles.This paper uses 1,397 IPO companies from 2006 to 2016 as a research sample. The main findings are as follows. First, the new shares issued during the first-day daily limit period have significantly worse market performance on their lockup expirations, with-8.43% abnormal returns in a [-30,30]estimated window period compared with-2.65% during the non-first-day daily limit period. These shares also have a lower abnormal trading volume and abnormal volatility. The reason is that the first-day daily limit system causes speculative bubbles, and the larger the stock price bubble, the greater the decline subsequent to IPO lockup expirations. Second, when the stock price is more overestimated or investor sentiment is higher at the time of IPO, then the first-day daily limit system has a greater impact subsequent to IPO lockup expirations. This further supports the idea that a speculative bubble is the reason that the first-day daily limit system affects the market performance of new shares. Third, the stocks issued during the implementation of both the IPO first-day daily limit system and the issue price control have significantly worse market performance following lockup expirations. The reason is that the combination of the two regulations causes larger speculative bubbles. Our results support the “lockup expirations and asset bubble burst” theory proposed by Hong et al. (2006).The main contributions are as follows. First, when the IPO lockup expires, the stock has a significant negative abnormal return and an abnormal trading volume. There are many debates on how to explain this violation of the market efficiency hypothesis. From the speculative bubble perspective, this paper examines the impact of the first-day daily limit system on IPO lockup expirations and gives empirical evidence for the theoretical hypothesis of Hong et al. (2006), thus supplementing the relevant literature on the lockup expiration puzzle. Second, the first-day daily limit system has a far-reaching impact on the new stock market, but related studies are very scarce. This paper helps to deepen the understanding of the economic consequences of the system, and further reveals and evaluates the effect of this policy. Third, this paper has important policy implications for the prevention of financial risks. This study helps explain the sharp fall in China's recent stock price following the lockup expirations. It suggests that a new stock speculative bubble combined with the lockup expiration of many new shares could be an important risk point.Preventing financial and systemic risk is the focus of current financial regulatory work. The results of this paper show that preventing and controlling the stock price bubble caused by speculation on new stocks would help prevent excessive volatility in the stock market. An appropriate relaxation of the first-day daily limit may help reduce stock price bubbles, which would reduce crash risk when the new shares' lockup expiration occurs. Investors should be aware that stocks that are over-hyped in the early stage of listing have a large decline in stock prices on the lockup expiration day. When investment sentiment is high and the market atmosphere is speculative, investors should pay special attention to high-flying, high-risk stocks, and maintaining investment rationality is of great importance.