Empirical studies have covered the seasonal anomalies in stock market returns fr om an investor behavior point of view i.e. irrationality of investors creates th e January effect, the weekend effect, the turn-of-month effect, and the holiday effect. However, studies have not tackled investor behavior during IPO announcem ents. In the GCC stock market, investors have excess liquidity and are irrationa l in how much they invest upon hearing about an IPO announcement. This project s tudies investor behavior in the GCC stock market during IPOs by accounting for s tock market index returns and looking for anomalies during subscription periods. We do not find consistent evidence of seasonality even though individual (count ry) results show up in the analysis. In particular, we notice a pronounced effec t in cases like Saudi Arabia and Dubai, and a less obvious effect in cases like Oman and Bahrain. The effect is not noticed in Qatar and Kuwait. Furthermore, we notice a similar effect for the overall sample in the bubble and post-bubble pe riods but not in the pre-bubble period, which may be explained by the immaturity of the market during the pre-bubble period. We also notice that the market inde x kicks-off after the end of the subscription period and sustains its increase i n markets like Abu Dhabi, Oman, Qatar, Kuwait, and Saudi Arabia whereas in Dubai and Bahrain the market indices increase transiently only to reach a steady stat e later. Finally, we compare subscription period returns for the full period ver sus that for the first 5 days which are supposed to carry the bulk of the invest ments. We notice this trend in all GCC markets except in Saudi Arabia.Empirical studies have covered the seasonal anomalies in stock market returns fr om an investor behavior point of view i.e. irrationality of investors creates th e January effect, the weekend effect, the turn-of-month effect, and the ...
|Title||:||Investor Behavior and the IPO Effect in the GCC Stock Markets|
|Author||:||Raed Michel Farah, American University of Beirut. Suliman S. Olayan School of Business|