Does the Expiration of Share Lockups Affect the Characteristics of Stock Price? Causal Inference with High-dimensional Factor Models

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Journal of Central University of Finance & Economics ›› 2021, Vol. 0 ›› Issue (1) : 34-42.

LI Bo-long

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Abstract

This paper investigates the intervention impact of the expiration of share lockups on the characteristics of stock price in China with a method of causal inference based on high-dimensional factor models.It reveals that the treatment effects vary with time periods,with the highest significance levels appearing during the crash in 2015 for stock returns and during the post crisis period for volatility.The expiration of lockups largely increases the volatility substantially and do not show a clear impact on returns in terms of positive or negative.Overall,the treatment effect on volatility outperforms that on returns and the return bearing specific level of risk decreases.Individual treatment effects are heterogeneous and they are not related to individual characteristics significantly.The outcomes of this paper can serve as a complement to the literature on the expiration of share lockups and also provide reference for learning about its policy impact.

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High-dimensional factor model / Stock return / Individual volatility / Counterfactual / Panel data

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LI Bo-long. Does the Expiration of Share Lockups Affect the Characteristics of Stock Price? Causal Inference with High-dimensional Factor Models[J]. Journal of Central University of Finance & Economics, 2021, 0(1): 34-42

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