Detecting underwriters stabilisation trades: A clinical study.

Qudamah Quboa; Brahim Saadouni; Azar Shahgholian; Nikolay Mehandjiev

Detecting underwriters stabilisation trades: A clinical study.

Qudamah Quboa, Brahim Saadouni, Azar Shahgholian, Nikolay Mehandjiev

Research output: Contribution to conference › Paper › peer-review

Abstract

In this study, we examine the stabilisation trades of United Rusal Company IPO’s shares listed on the Hong Kong Stock Exchange (HKEx) and of its Global Depository Shares (GDS) that were simultaneously listed on Euronext Paris. Using both Thomson Reuters Tick History data and the HKEx rules and regulation relating to stabilisation, we identify and analyse the trades that were very likely to have been executed by the stabilisation manager (Credit Suisse) on both markets. We identify nearly 95% of the stabilisation trades on the Euronext Paris, with somewhat less accurate results for Hong Kong. Our results show that the stabilisation trades generated a profit equivalent to about 2.72% of the gross proceeds for the two lead underwriters, a profit which is bigger than their total underwriting commission of 2.31%.

Original language	English
Publication status	Published - 20 Jan 2017
Event	Enterprise Applications, Markets and Services in the Finance Industry: 8th International Workshop - Frankfurt, Germany Duration: 8 Dec 2016 → 8 Dec 2016

Conference

Conference	Enterprise Applications, Markets and Services in the Finance Industry: 8th International Workshop
Abbreviated title	FinanceCom 2016
Country/Territory	Germany
City	Frankfurt
Period	8/12/16 → 8/12/16

Cite this

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title = "Detecting underwriters stabilisation trades: A clinical study.",

abstract = "In this study, we examine the stabilisation trades of United Rusal Company IPO{\textquoteright}s shares listed on the Hong Kong Stock Exchange (HKEx) and of its Global Depository Shares (GDS) that were simultaneously listed on Euronext Paris. Using both Thomson Reuters Tick History data and the HKEx rules and regulation relating to stabilisation, we identify and analyse the trades that were very likely to have been executed by the stabilisation manager (Credit Suisse) on both markets. We identify nearly 95% of the stabilisation trades on the Euronext Paris, with somewhat less accurate results for Hong Kong. Our results show that the stabilisation trades generated a profit equivalent to about 2.72% of the gross proceeds for the two lead underwriters, a profit which is bigger than their total underwriting commission of 2.31%.",

author = "Qudamah Quboa and Brahim Saadouni and Azar Shahgholian and Nikolay Mehandjiev",

year = "2017",

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T1 - Detecting underwriters stabilisation trades: A clinical study.

AU - Quboa, Qudamah

AU - Saadouni, Brahim

AU - Shahgholian, Azar

AU - Mehandjiev, Nikolay

PY - 2017/1/20

Y1 - 2017/1/20

N2 - In this study, we examine the stabilisation trades of United Rusal Company IPO’s shares listed on the Hong Kong Stock Exchange (HKEx) and of its Global Depository Shares (GDS) that were simultaneously listed on Euronext Paris. Using both Thomson Reuters Tick History data and the HKEx rules and regulation relating to stabilisation, we identify and analyse the trades that were very likely to have been executed by the stabilisation manager (Credit Suisse) on both markets. We identify nearly 95% of the stabilisation trades on the Euronext Paris, with somewhat less accurate results for Hong Kong. Our results show that the stabilisation trades generated a profit equivalent to about 2.72% of the gross proceeds for the two lead underwriters, a profit which is bigger than their total underwriting commission of 2.31%.

AB - In this study, we examine the stabilisation trades of United Rusal Company IPO’s shares listed on the Hong Kong Stock Exchange (HKEx) and of its Global Depository Shares (GDS) that were simultaneously listed on Euronext Paris. Using both Thomson Reuters Tick History data and the HKEx rules and regulation relating to stabilisation, we identify and analyse the trades that were very likely to have been executed by the stabilisation manager (Credit Suisse) on both markets. We identify nearly 95% of the stabilisation trades on the Euronext Paris, with somewhat less accurate results for Hong Kong. Our results show that the stabilisation trades generated a profit equivalent to about 2.72% of the gross proceeds for the two lead underwriters, a profit which is bigger than their total underwriting commission of 2.31%.

M3 - Paper

T2 - Enterprise Applications, Markets and Services in the Finance Industry: 8th International Workshop

Y2 - 8 December 2016 through 8 December 2016

ER -

Detecting underwriters stabilisation trades: A clinical study.

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Conference

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