Share price performance of Malaysian IPOs around lock-up expirations

Abdolhossein Zameni, Othman Yong

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This study aims to investigate the lock-up provisions of initial public offerings (IPOs) and their effect on price changes around the lock-up expiry date of Malaysian IPOs. More precisely, the efficient market hypothesis (EMH) is investigated in relation to the lock-up provision by using the standard event study methodology and an improved and more robust method proposed by Masulis, called comparison period returns approach (CPRA) The sample comprises 379 Malaysian IPOs, issued from January 2001 to December 2011. The results of the CPRA methodology are consistent with the event study methodology, in which significant abnormal returns are not seen around the lock-up expiry date despite of significant positive trading volume. In general, the findings confirm the semi-strong form of EMH. Furthermore, the results are in line with studies of European markets, but contradict most studies of US markets. The results indicate that whether we incorporate market risk in our analysis or not, the market remains in semi-strong form around the lock-up expiry date.

Original languageEnglish
Pages (from-to)8094-8102
Number of pages9
JournalAdvanced Science Letters
Volume23
Issue number9
DOIs
Publication statusPublished - 1 Sep 2017

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Efficient Market Hypothesis
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performance
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return period
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Robust Methods
European market
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Keywords

  • Abnormal return
  • Efficient market hypothesis (EMH)
  • Lock-Up provision
  • Malaysian ipos
  • Share price performance

ASJC Scopus subject areas

  • Computer Science(all)
  • Health(social science)
  • Mathematics(all)
  • Education
  • Environmental Science(all)
  • Engineering(all)
  • Energy(all)

Cite this

Share price performance of Malaysian IPOs around lock-up expirations. / Zameni, Abdolhossein; Yong, Othman.

In: Advanced Science Letters, Vol. 23, No. 9, 01.09.2017, p. 8094-8102.

Research output: Contribution to journalArticle

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