THE MARKET REACTION OF THE IPOs SURROUNDING THE EXPIRATION OF THE LOCKUP PERIOD: EVIDENCE FROM MALAYSIA

Abstract

This paper investigates the impact of the IPO lockup expiration has on the share price performance involving three phases of market, they are the bear market phase, the consolidation market phase and the bull market phase. The IPOs sample of 385 companies were taken from the period of January 2000 to December 2014. The paper applied risk-adjusted market model event studies to investigate the performance of the IPOs share price. The paper found that there was no significant abnormal return on the day of the lockup expiration period. Further investigation on the performance of IPOs share price surrounding the expiration of the lock-up period yield a mixed result. The longer period event window of (-30,+30) is significantly positive, while the short term event window of (-10,+10) does not yield a significant result. Hence, this study provides evidence that the in the short term of the expiration of the lockup period is in accordance of the semi-strong form of the Efficient Market Hypothesis (EMH) but not in the longer event window period of (-30,+30).