文献类型：期刊文献

英文题名：Price performance following stock's IPO in different price limit systems

作者：Wu, Ting[1,2,3];Wang, Yue[1];Li, Ming-Xia[1,3,4]

机构：[1]East China Univ Sci & Technol, Res Inst Sports Econ, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]East China Univ Sci & Technol, Postdoctoral Res Stn, Shanghai 200237, Peoples R China

年份：2018

卷号：490

起止页码：953

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20173804168948);WOS:【SSCI(收录号:WOS:000415912900086)，SCI-EXPANDED(收录号:WOS:000415912900086)】；

基金：We thank Prof. Wei-Xing Zhou and Prof. Fu-Tie Song for fruitful discussion. This work is supported by the National Natural Science Foundation of China (71671066), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Expected profit; Limit hit; Stock return; Initial public offering; Correlation

摘要：An IPO burst occurred in China's stock markets in 2015, while price limit trading rules usually help to reduce the short-term trading mania on individual stocks. It is interesting to make clear the function of the price limits after IPOs. We firstly make a statistical analysis based on all the IPO stocks listed from 1990 to 2015. A high dependency exists between the activities in stock's IPO and various market environment. We also focus on the price dynamics in the first 40 trading days after the stock listed. We find that price limit system will delay the price movement, especially for the up-trend movements, which may lead to longer continuous price limit hits. Similar to our previous work, many results such as "W" shape can be also observed in the future daily return after the price limit open. At last, we find most IPO measures show evident correlations with the following price limit hits. IPO stocks with lower first-day turnover and earning per share will be followed with a longer continuous price limit hits and lower future daily return under the newest trading rules, which give us a good way to estimate the occurrence of price limit hits and the following price dynamics. Our analysis provides a better understanding of the price dynamics after IPO events and offers potential practical values for investors. (C) 2017 Elsevier B.V. All rights reserved.