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Analysis into IPO Underpricing and Clustering in Hong Kong Equity Market

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Author Info
Yongyuan Qiao

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Abstract

This paper focuses on the time series properties of the level of underpricing of IPO shares and volume of initial selling in Hong Kong equity market. Strong autocorrelation among the level of underpricing has been identified. Evidence suggests that the initial selling volume plays an important role in the relationship. The links between underpricing and clustering of IPOs within different industries are weak, suggesting the reasons for underpricing are rather related to the market liquidity than industry specific risk characteristics

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Publisher Info
Paper provided by Centre for Research into Industry, Enterprise, Finance and the Firm in its series CRIEFF Discussion Papers with number 0716.

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Date of creation: Dec 2007
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Handle: RePEc:san:crieff:0716

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Related research
Keywords: Underpricing of IPO shares; Hong Kong equity market; the volume of initial selling; Market liquidity.;

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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  1. Welch, Ivo, 1992. " Sequential Sales, Learning, and Cascades," Journal of Finance, American Finance Association, vol. 47(2), pages 695-732, June. [Downloadable!] (restricted)
  2. Stoughton, Neal M. & Zechner, Josef, 1998. "IPO-mechanisms, monitoring and ownership structure1," Journal of Financial Economics, Elsevier, vol. 49(1), pages 45-77, July. [Downloadable!] (restricted)
  3. Rock, Kevin, 1986. "Why new issues are underpriced," Journal of Financial Economics, Elsevier, vol. 15(1-2), pages 187-212. [Downloadable!] (restricted)
  4. Hoffmann-Burchardi, Ulrike, 2001. "Clustering of initial public offerings, information revelation and underpricing," European Economic Review, Elsevier, vol. 45(2), pages 353-383, February. [Downloadable!] (restricted)
  5. William J. Wilhelm & Alexander Ljungqvist, 2002. "IPO Pricing in the Dot-com Bubble," OFRC Working Papers Series 2002fe07, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  6. Michelle Lowry & G. William Schwert, 2002. "IPO Market Cycles: Bubbles or Sequential Learning?," Journal of Finance, American Finance Association, vol. 57(3), pages 1171-1200, 06. [Downloadable!] (restricted)
    Other versions:
  7. Ljungqvist, Alexander P & Nanda, Vikram & Singh, Rajdeep, 2001. "Hot Markets, Investor Sentiment and IPO Pricing," CEPR Discussion Papers 3053, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  8. Mauer, David C. & Senbet, Lemma W., 1992. "The Effect of the Secondary Market on the Pricing of Initial Public Offerings: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(01), pages 55-79, March. [Downloadable!]
  9. Benninga, Simon & Helmantel, Mark & Sarig, Oded, 2005. "The timing of initial public offerings," Journal of Financial Economics, Elsevier, vol. 75(1), pages 115-132, January. [Downloadable!] (restricted)
  10. Tim Loughran & Jay Ritter, 2004. "Why Has IPO Underpricing Changed Over Time?," Financial Management, Financial Management Association, vol. 33(3), Fall.
  11. Lubos Pástor & Pietro Veronesi, 2005. "Rational IPO Waves," Journal of Finance, American Finance Association, vol. 60(4), pages 1713-1757, 08. [Downloadable!] (restricted)
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