Chinese IPO returns: effects of ten-minute call auction. Issue 3 (3rd May 2020)

• Record Type: Journal Article
• Authors: Zhang, Heming; Wang, Guanying
• Is Part Of: Asia-Pacific journal of accounting & economics. Volume 27:Issue 3(2020)
• Page Start: 352
• Page End: 363
• Publication Date: 2020-05-03
• Subjects: IPO -- initial returns -- call auction -- continuous auction; Accounting -- Periodicals; Accounting -- Pacific Area -- Periodicals; Economics -- Periodicals; Pacific Area -- Economic conditions -- Periodicals; 657
• DOI: 10.1080/16081625.2019.1566007
• Languages: English
• ISSNs: 1608-1625

Abstract

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.