Impact of Lock-in Period Expiration on Share Prices and Volume: An Empirical Study

Abstract

This paper examines the impact of lock-in period expiration on share prices and stock volume using closing prices and volume of BSE index for the period of 21 and 11 days around the event. The sample consists of one sixty five events of lock-in period expiration during seven year period i.e. from 2003 to 2009 for the IPOs which came in the year 2000 to 2006. The methods used include Standard event study, Market Adjusted Model, and Field and Hanka Model. The study provides evidence that the event of lock-in period expiration has not produced much impact on Indian stock market because results for both the methods of price reaction and for the method of stock volume reaction are insignificant which means share prices and stock volume of Indian companies have not faced any abnormality around the lock-in period expiration date.