Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind

Huang Yu Cheng; Zhang Fei

doi:doi:10.11648/j.ijefm.20160406.13

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Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind

Huang Yu Cheng, Zhang Fei

Published in International Journal of Economics, Finance and Management Sciences (Volume 4, Issue 6)

Received: 2 November 2016 Published: 3 November 2016

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Abstract

In China's securities market, "shadow share" is the phenomenon of frequent speculation. Based on the present situation, this paper makes systematic empirical research and tracking on the excess return of "shadow share", And explores the underlying causes of excess returns. Basically, by selecting 89 samples of different plate and market environment, this article studies the cumulative abnormal return (CAR) and abnormal average return (AR) of "shadow share", And draw the following conclusions: In main board and GEM market, the cumulative abnormal return (CAR) of "shadow share" is positive, however, in small and medium board, it becomes negative; In choppy market and rapid declining market, the cumulative abnormal return (CAR) of "shadow share" is positive, while it becomes negative in accelerate rising market.

Published in	International Journal of Economics, Finance and Management Sciences (Volume 4, Issue 6)
DOI	10.11648/j.ijefm.20160406.13
Page(s)	331-336
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2016. Published by Science Publishing Group

Keywords

Shadow Share, IPO, Cumulative Abnormal Return

References

[1]	Guoxuan Huang, Venture capital concept stocks’ price fluctuation analysis [J]. Accounting communications venture capital, venture capital 2009 (11): 14-16.
[2]	Shasha, Jiheng Wang, Venture Value and shares of listed companies price correlation analysis - based on empirical analysis of listed companies that have a venture capital concept [J]. Harbin University of Commerce (Social Science Edition). Venture 2008 (6): 94-98.
[3]	weijie Wang, China small and medium enterprise board that venture capital venture institutions involved in IPO underpricing the analysis of causes [D]. Suzhou University, 2010. Venture Capital Ventures
[4]	Hangde Ye, Study of impact on venture capital participation in the company's IPO the first day performance - based on the GEM IPO data [D]. Shandong University, Venture Capital 2013. Venture
[5]	Min Sun, Research on market performance of VC-backed the company's IPO [D]. Zhejiang University, Venture capital 2010.
[6]	Chen Wei. Research on venture capital reducing holdings’ impact small board and GEM stocks liquidity [J]. Venture Financial Theory and Practice, Venture 2014 (3): 98-102.
[7]	Chemmanur T J, Loutskina E, The Role of Venture Capital Backing in Initial Public Offerings: Certification, Screening, or Market Power [J]. Ssrn Electronic Journal, 2006.
[8]	Kaplan S N, Strömberg P, Financial Contracting Theory Meets the Real World: An Empirical Analysis of Venture Capital Contracts [J]. Review of Economic Studies, 2000, 70(2): págs. 281-315.
[9]	Joseph L Y S, Saunders, Initial Public Offerings: The Role of Venture Capitalists [J]. Scientist, 1990, 22.
[10]	Hochberg Y V, Venture Capital and Corporate Governance in the Newly Public Firm [J]. Social Science Electronic Publishing, 2010, 16(2): 429-480.

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APA Style

Huang Yu Cheng, Zhang Fei. (2016). Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind. International Journal of Economics, Finance and Management Sciences, 4(6), 331-336. https://doi.org/10.11648/j.ijefm.20160406.13

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ACS Style

Huang Yu Cheng; Zhang Fei. Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind. Int. J. Econ. Finance Manag. Sci. 2016, 4(6), 331-336. doi: 10.11648/j.ijefm.20160406.13

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AMA Style

Huang Yu Cheng, Zhang Fei. Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind. Int J Econ Finance Manag Sci. 2016;4(6):331-336. doi: 10.11648/j.ijefm.20160406.13

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@article{10.11648/j.ijefm.20160406.13,
  author = {Huang Yu Cheng and Zhang Fei},
  title = {Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {4},
  number = {6},
  pages = {331-336},
  doi = {10.11648/j.ijefm.20160406.13},
  url = {https://doi.org/10.11648/j.ijefm.20160406.13},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20160406.13},
  abstract = {In China's securities market, "shadow share" is the phenomenon of frequent speculation. Based on the present situation, this paper makes systematic empirical research and tracking on the excess return of "shadow share", And explores the underlying causes of excess returns. Basically, by selecting 89 samples of different plate and market environment, this article studies the cumulative abnormal return (CAR) and abnormal average return (AR) of "shadow share", And draw the following conclusions: In main board and GEM market, the cumulative abnormal return (CAR) of "shadow share" is positive, however, in small and medium board, it becomes negative; In choppy market and rapid declining market, the cumulative abnormal return (CAR) of "shadow share" is positive, while it becomes negative in accelerate rising market.},
 year = {2016}
}

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TY  - JOUR
T1  - Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind
AU  - Huang Yu Cheng
AU  - Zhang Fei
Y1  - 2016/11/03
PY  - 2016
N1  - https://doi.org/10.11648/j.ijefm.20160406.13
DO  - 10.11648/j.ijefm.20160406.13
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 331
EP  - 336
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20160406.13
AB  - In China's securities market, "shadow share" is the phenomenon of frequent speculation. Based on the present situation, this paper makes systematic empirical research and tracking on the excess return of "shadow share", And explores the underlying causes of excess returns. Basically, by selecting 89 samples of different plate and market environment, this article studies the cumulative abnormal return (CAR) and abnormal average return (AR) of "shadow share", And draw the following conclusions: In main board and GEM market, the cumulative abnormal return (CAR) of "shadow share" is positive, however, in small and medium board, it becomes negative; In choppy market and rapid declining market, the cumulative abnormal return (CAR) of "shadow share" is positive, while it becomes negative in accelerate rising market.
VL  - 4
IS  - 6
ER  -

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Author Information

Huang Yu Cheng

Organization School of Economics, Shanghai University, Shanghai City, China
Zhang Fei

Organization School of Economics, Shanghai University, Shanghai City, China

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APA Style

Huang Yu Cheng, Zhang Fei. (2016). Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind. International Journal of Economics, Finance and Management Sciences, 4(6), 331-336. https://doi.org/10.11648/j.ijefm.20160406.13

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ACS Style

Huang Yu Cheng; Zhang Fei. Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind. Int. J. Econ. Finance Manag. Sci. 2016, 4(6), 331-336. doi: 10.11648/j.ijefm.20160406.13

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AMA Style

Huang Yu Cheng, Zhang Fei. Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind. Int J Econ Finance Manag Sci. 2016;4(6):331-336. doi: 10.11648/j.ijefm.20160406.13

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@article{10.11648/j.ijefm.20160406.13,
  author = {Huang Yu Cheng and Zhang Fei},
  title = {Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {4},
  number = {6},
  pages = {331-336},
  doi = {10.11648/j.ijefm.20160406.13},
  url = {https://doi.org/10.11648/j.ijefm.20160406.13},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20160406.13},
  abstract = {In China's securities market, "shadow share" is the phenomenon of frequent speculation. Based on the present situation, this paper makes systematic empirical research and tracking on the excess return of "shadow share", And explores the underlying causes of excess returns. Basically, by selecting 89 samples of different plate and market environment, this article studies the cumulative abnormal return (CAR) and abnormal average return (AR) of "shadow share", And draw the following conclusions: In main board and GEM market, the cumulative abnormal return (CAR) of "shadow share" is positive, however, in small and medium board, it becomes negative; In choppy market and rapid declining market, the cumulative abnormal return (CAR) of "shadow share" is positive, while it becomes negative in accelerate rising market.},
 year = {2016}
}

Copy | Download

TY  - JOUR
T1  - Empirical Research on New Stock IPO Excess Returns of the Shadow Shares Behind
AU  - Huang Yu Cheng
AU  - Zhang Fei
Y1  - 2016/11/03
PY  - 2016
N1  - https://doi.org/10.11648/j.ijefm.20160406.13
DO  - 10.11648/j.ijefm.20160406.13
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 331
EP  - 336
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20160406.13
AB  - In China's securities market, "shadow share" is the phenomenon of frequent speculation. Based on the present situation, this paper makes systematic empirical research and tracking on the excess return of "shadow share", And explores the underlying causes of excess returns. Basically, by selecting 89 samples of different plate and market environment, this article studies the cumulative abnormal return (CAR) and abnormal average return (AR) of "shadow share", And draw the following conclusions: In main board and GEM market, the cumulative abnormal return (CAR) of "shadow share" is positive, however, in small and medium board, it becomes negative; In choppy market and rapid declining market, the cumulative abnormal return (CAR) of "shadow share" is positive, while it becomes negative in accelerate rising market.
VL  - 4
IS  - 6
ER  -

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