Author(s)

Ruyu Bai, Wenbin Bao

Corresponding Author

Ruyu Bai

ABSTRACT

Chinese A-share market has established for many years, the IPO underpricing calendar effect as abnormal phenomena still exist. To study the IPO underpricing phenomenon further, this paper combined these two abnormal phenomena to research the calendar effect of the IPO underpricing in the Chinese A-share market. The results show that the information asymmetry and investor behavior paid important roles to the IPO underpricing of the Chinese A-share market. Compared with January, IPO underpricing has the calendar effect: February had a negative monthly effect, and April, June, August, November and December had the positive monthly effect.

KEYWORDS

Chinese A-share Market, IPO underpricing, Calendar effect, Monthly effect