Calendar Congestion and Trading Responses: Cornerstone Lock-up Expirations in Hong Kong IPOs

Abstract

Contractual lock-ups make previously restricted shares eligible to trade on dates fixed months in advance. This paper asks whether the trading response to a Hong Kong IPO cornerstone release depends on other releases reaching the market on the same session. Congestion is formed from a frozen pre-outcome census of 504 eligible release events; the focal sample contains 226 complete event windows for 2022–2025 listing cohorts. The primary equal-event specification models log(1 + event-session volume relative to the preceding-20-session mean), retains 11 zero-volume sessions, and controls for market turnover, issuer size, and pre-event liquidity. The crowded-session coefficient is 0.432 (event-session clustered p = 0.010) and its interaction with log(1 + release strength) is −0.683 (p = 0.018). Event-week clustering, wildcluster bootstrap inference, month-constrained calendar randomization, alternative same-session congestion measures, placebo dates, and joint omission of the most crowded sessions support the negative interaction. The result is scale-sensitive: asinh and positive-only log outcomes agree, but an untransformed volume-ratio model and a Poisson pseudo-maximum-likelihood share-flow model do not. Holm adjustment across volume, return, and volatility interactions gives p = 0.054; neither price nor range volatility is robust. The evidence therefore describes a typical-event transformed-volume pattern, strongest among smaller releases. It does not establish aggregate share-flow pressure, price dislocation, or a causal market-capacity mechanism.

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