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Impact of IPO Activities on the Hong Kong Dollar Interbank Market

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Author Info
Frank Leung (Research Department, Hong Kong Monetary Authority)
Philip Ng (Research Department, Hong Kong Monetary Authority)
Abstract

Hong Kong has witnessed an equity initial public offering (IPO) boom since 2005. As the interbank payments involved in an IPO can be hundreds of times larger than the Aggregate Balance, increased funding needs and heightened demand for interbank liquidity may drive interbank interest rates up. Empirical estimates from error-correction models and GARCH models for HIBORs show that funding needs on the closing date of an IPO increase the level and conditional volatility of the overnight and one-week HIBORs (but not those of the one-month and longer-term HIBORs). On the other hand, estimated models for HIBORs with different maturities do not detect any statistically significant effect of the IPO variable on the refund date of an IPO.

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File URL: http://www.info.gov.hk/hkma/eng/research/working/pdf/HKMAWP08_11_full.pdf
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Publisher Info
Paper provided by Hong Kong Monetary Authority in its series Working Papers with number 0811.

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Length: 16 pages
Date of creation: Jul 2008
Date of revision:
Handle: RePEc:hkg:wpaper:0811

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Related research
Keywords: IPO; interbank liquidity; interest rate volatility; event studies;

Find related papers by JEL classification:
E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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This page was last updated on 2009-12-17.

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