TABLE OF CONTENT
Page
PERMISSION TO USE.....................................................................................................i
ABSTRACT.......................................................................................................................ii
ABSTRAK.........................................................................................................................iii
ACKNOWLEDGMENTS................................................................................................iv
TABLE OF CONTENTS..................................................................................................v
LIST OF TABLES............................................................................................................ix
LIST OF FIGURES...........................................................................................................x
LIST OF APPENDICES..................................................................................................xi
LIST OF ABBREVIATIONS.........................................................................................xii
CHAPTER ONE..................................................................................................................1
INTRODUCTION...............................................................................................................1
1.1 Background...........................................................................................................1
1.2 Problem Statement................................................................................................5
1.3 Research Questions.............................................................................................14
1.4 Research Objectives............................................................................................15
1.5 Scope of the Study..............................................................................................15
1.6 Significance of the Study....................................................................................16
1.7 Structure of the Thesis........................................................................................18
CHAPTER TWO...............................................................................................................20
LITERATURE REVIEW..................................................................................................20
2.1 Introduction.........................................................................................................20
2.2 Regulatory Entities..............................................................................................21
2.2.1 Securities Commission Malaysia (SC)........................................................21
2.2.2 Bursa Malaysia Berhad................................................................................23
2.3 IPO Share Lockups in Malaysia..........................................................................26
2.4 Related Theory on IPO Lockups.........................................................................30
2.4.1 Efficient Market Hypothesis (EMH)...........................................................31
2.4.2 Signaling Hypothesis Based on Information Asymmetry...........................32
2.4.3 Commitment Hypothesis Based on Agency Theory...................................33
2.5 Related Empirical Studies on IPO Lockups........................................................34
2.5.1 Market Reaction to Expiration of Lockup Period........................................34
2.5.2 Determinants of Market Reaction to Lockup Expiration............................55
2.6 Chapter Summary...............................................................................................60
CHAPTER THREE...........................................................................................................63
RESEARCH METHODS..................................................................................................63
3.1 Introduction........................................................................................................63
3.2 Data Sources and Sample Description................................................................63
3.2.1 Data Collection Process...............................................................................65
3.2.2 Sample of the Study.....................................................................................67
3.3 Variables and Hypotheses...................................................................................69
3.3.1 Market reaction to lockup expiration...........................................................69
3.3.2 Factors influencing the level of abnormal returns.......................................71
3.4 Research Design and Methods............................................................................84
3.4.1 Event Study........................................................................................................84
3.4.2 Event Study Research Design...........................................................................85
3.4.3 Models for Measuring Normal Return.............................................................87
3.4.4 Measure of Abnormal Returns........................................................................90
3.4.5 Measure of Abnormal Volume........................................................................94
3.4.6 Cross Sectional Multiple Regression..............................................................95
3.5 Chapter Summary...............................................................................................98
CHAPTER FOUR...........................................................................................................100
EMPIRICAL FINDINGS AND DISCUSSIONS............................................................100
4.1 Introduction.......................................................................................................100
4.2 Sample of the Study..........................................................................................101
4.3 Event-Day Abnormal Returns...........................................................................102
4.4 Main Market versus ACE Market Abnormal Returns......................................108
4.5 Event-Day Abnormal Returns for Lockup Regimes.........................................110
4.6 Event-Day Abnormal Trading Volume.............................................................111
4.7 Descriptive Statistics.........................................................................................114
4.8 Multiple Regression Analysis Findings............................................................118
4.9 Chapter Summary.............................................................................................135
CHAPTER FIVE.............................................................................................................138
CONCLUSION AND RECOMMENDATIONS............................................................138
5.1 Introduction.......................................................................................................138
5.2 Overview of the Study......................................................................................138
5.3 Summary of Main Findings..............................................................................141
5.3.1 Findings of Market Reaction at Lockup Expiration..................................141
5.3.2 Findings Based on Multiple Regression Analysis.....................................144
5.4 Contribution of the Study..................................................................................146
5.5 Limitations of the Study....................................................................................148
5.6 Recommendations for Future Study.................................................................149
REFERENCES..............................................................................................................153
APPENDICES................................................................................................................161
LIST OF TABLES
Table Page
Table 2.1 Listing statistics of new companies on Bursa Malaysia 26
Table 2.2 Summary of selected prior studies on market reaction to lockup 45
expiration
Table 2.3 Summary of selected past studies on market reaction to lockup 54
expiration outside the US
Table 2.4 Summary of previous studies on determinants of market reaction 59
at lockup expiration
Table 3.1 Sample selection of 292 IPOs listed from 2003 to 2012 68
LIST OF FIGURES
Figure Page
Figure 2.1: Summary of the relevant listing criteria 25
Figure 3.1 Research framework: determinants of abnormal returns 97
Figure 4.1 CAARs over 21 event days for market model and market 105
adjusted return model
Figure 4.2 Abnormal trading volume around the lockup expiration day 113
LIST OF APPENDICES
Page
APPENDIX A AARs and CAARs using market model and market adjusted 161
returns model based on Emas Index
APPENDIX B CAARs over 21 event days for market model and market 162
adjusted return model using KLCI and Emas Index
LIST OF ABBREVIATIONS
ACE Access, Certain, Efficiency
AAR Average Abnormal Return
CAR Cumulative Abnormal Return
CAAR Cumulative Average Abnormal Return
CMSA Capital Market Services Act
IPC Infrastructure Project Company
IPO Initial Public Offering
KLCI Kuala Lumpur Composite Index
Table 2.1
Listing statistics of new companies on Bursa Malaysia
Number of New Listings
(as at 29 September 2015)
Year Main ACE Total
Market Market
2015 7 3 10
2014 12 3 15
2013 16 1 17
2012 14 3 17
2011 17 11 28
2010 23 6 29
2009 12 2 14
Main Board Second Board MESDAQ Market
2008 7 8 8 23
2007 15 8 3 26
2006 10 8 22 40
2005 16 17 46 79
2004 15 26 31 72
2003 16 22 20 58
Source:
[Link]/market/listed-companies/initial-public-offerings/listing-statistics
Table 2.3
Summary of selected past studies on market reaction to lockup expiration outside the US
Author Country Sample & Methods Event Findings
Period Window
Espenlaub, Goergen, UK 1992 - 1998 Market (-5, +5) Insignificant negative
& Khurshed (188 IPOs) adjusted CARs
(2001) return
Nowak (2004) Germany 1997-1999 Market (-10, +10) Significant negative
(142 IPOs) model CARs, trading volume
increases
Goergen, Renneboog, Germany 1997 - 2000 Market (-5, +5) Insignificant negative
& Khurshed (2006) (268 IPOs) model CARs
France 1996 - 2000
(138 IPOs)
Kryzanowski & Canada 1997 - 2005 Market (-10, +10) Insignificant negative
Liang (2008) (97 IPOs) model CARs
Hoque (2011) UK 1999 - 2006 Market (-2, +2) Significant negative
(831 IPOs) model CARs
Mahajan & Singh India 2003 - 2009 Market (-10, +10) Both insignificant
(2011) (165 IPOs) model negative CARs &
trading volume
MM vs MAR
Cumulative Average Abnormal Returns
0.5%
0.0%
-15 -10 -5 0 5 10 15
-0.5%
-1.0% MM
MAR
-1.5%
-2.0%
-2.5%
-3.0%
Days Relative to Lockup Expiration
Figure 4.1
CAARs over 21 event days for market model and market adjusted return model
