Fear of the COVID-19 pandemic and IPO aftermarket liquidity in ASEAN-5

Abstract

Purpose

This study aims to examine the relationship between the fear index and initial public offering (IPO) aftermarket liquidity in ASEAN during the bearish time, the COVID-19 pandemic.

Design/methodology/approach

This study uses random effect panel regression analysis using two proxies of IPO aftermarket liquidity, namely, volume and turnover, on data of 90 IPO companies in the ASEAN-5 countries over four study periods: 30, 60, 90 and 100 days, after their IPOs.

Findings

The results indicate that the COVID-19 fear index significantly affects liquidity for all periods. The fear index decreases the stock aftermarket liquidity of ASEAN-5 IPO companies. The findings are consistent with additional tests.

Originality/value

This study initiates research during the COVID-19 pandemic in ASEAN-5 countries. Furthermore, while the other studies examine the stock performance of existing listed companies, this study focuses exclusively on the liquidity of companies that went public through IPOs in 2020.

Citation

Wigantini, G.R. and Nainggolan, Y.A. (2023), "Fear of the COVID-19 pandemic and IPO aftermarket liquidity in ASEAN-5", Journal of Asia Business Studies, Vol. 17 No. 6, pp. 1125-1142. https://doi.org/10.1108/JABS-05-2022-0162