신규公募株의 去來量과 株價變動에 관한 實證的 硏究 = An Empirical Study on the Relationship between Trading Volume and Stock Price Change of Initial Public Offerings

다국어 초록 (Multilingual Abstract)

In this study, the relationship between trading volume and stock price change of Initial Public Offerings(IPOs) in the Korean stock market was empirically tested by the methods of descriptive statistical analysis and Kendall's coefficient of concordance test of non-parametric statistical analysis. The daily data of newly listed 63 common stocks are used from August 22, 1992 to December 31, 1995. The whole period is classified as ascending and declining period by Korea Composite Stock Price Index(KOSPI) standard.
The major test results are as follows.
First, it takes 11 days for the average of the cumulative daily return(ACDR) of 63 issues of IPOs during the whole period to make an end of its continuous uprising and arrive its first peak for the first time from the listing date.
Secondly, on the same day when ACDR arrives its first peak, the average of the ratio of daily trading volume to offered volume(ARDTVOV) of 63 issues of IPOs during the whole period shows its biggest ARDTVOVs of about 9∼10% a day.
We come to the conclusion that IPOs investors can decide the selling point by observing the extraordinarily big daily increase of ARDTVOV by about 9∼10%.
Also, I got the similar result by analyzing the data during the ascending and decling period.

목차 (Table of Contents)

• Ⅰ. 序 論
• Ⅱ. 기존연구의 흐름
• Ⅲ. 검증자료와 방법
• Ⅳ. 검증결과
• Ⅴ. 結 論
• 參考文獻
• 附 錄