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本文对A股全流通发行后265家IPO公司432次锁定期解除样本进行实证研究,发现在事件日前后有显著的价量效应。自T-8日至T+2日,平均累计异常收益率为-2.3%,且在随后两个月内没有出现反转;在事件日,发现有163.2%的异常成交量,其后快速回落至33.2%的永久性异常成交量。子样本分析发现询价对象样本具有更为显著的价格效应,而牛市和熊市中锁定期解除效应也显著不同。
This paper conducts an empirical study on the 432 lock-ups of 265 IPO companies after the full circulation of A shares, and finds that there is a significant price effect before and after the event day. From T-8 to T + 2, the average cumulative abnormal return rate was -2.3% and there was no reversal in the next two months. On the event day, an abnormal turnover of 163.2% was found and then dropped rapidly To 33.2% of the permanent abnormal volume. The sub-sample analysis finds that the sample of the inquiry object has a more significant price effect, while the lock-release effect in the bull and bear markets is also significantly different.