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Chinese IPO returns: effects of ten-minute call auction

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  • Heming Zhang
  • Guanying Wang

Abstract

We connect the IPO underpricing with secondary market trading mechanism by examining the data of Chinese A-share IPOs between 1993 and 2016. We find that ten-minute call auction procedure generates most of the IPO initial return. For the whole sample, the mean value of the ratios of call auction returns to initial returns is close to 1, and the call auction returns account for 95% of the variability in initial returns. Regression results further show that determinants of IPO underpricing in existing literature explain IPO call auction returns better than continuous auction returns.

Suggested Citation

  • Heming Zhang & Guanying Wang, 2020. "Chinese IPO returns: effects of ten-minute call auction," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 27(3), pages 352-363, May.
    • Handle: RePEc:taf:raaexx:v:27:y:2020:i:3:p:352-363
    DOI: 10.1080/16081625.2019.1566007
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