论文名称：Non-Marketability and one-day sellling lockup

作者：边江泽;Su,T;Wang,J

刊名：JOURNAL OF EMPIRICAL FINANCE

发表时间：2022.01

We examine a unique one day lockup constraint in stock markets in China. Buyers of Chinesestocks are subject to a one day lockup and cannot sell their shares until the next day, but warranttraders are free of such restrictions. We demonstrate that the lockup creates a price discountrelative to stock value implied by warrants. We show that the discount decreases throughoutthe trading day and investors tend to purchase stocks when the lockup becomes less binding.We also find the non-marketability discount in the Huaxia 50 ETF market, with help from thenewly introduced ETF options in China.