IPO Lockup Expiration and Institutional Investors Trading

We test the true unlock effect based on these withdrawal dates of lockup shares for 380 IPO firms from 2005 to 2014 in Taiwan, unlike previous studies which find no significant market returns based on regulation date. We find significantly negative abnormal returns around the first withdrawal date. We further show that institutional investors significantly react to these withdrawal events by selling shares and buying back shares before prices moved up. This action is especially more significant for mutual funds than for foreign institutional investors and dealers.本研究探討2005年至2014年380家臺灣IPO公司首次閉鎖解除日之股價反應，以及首次閉鎖解除日之機構投資人交易情形。我們發現在首次閉鎖解除日時，具有顯著為負之異常報酬率；而機構投資人在首次閉鎖解除日事件中，顯著賣超及在價格上漲之前顯著買超，相較於外資和自營商，投信之此種交易行為較顯著。