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This paper examines the intraday patterns of IPOs in Hong Kong during the period 1995-1998. The results reveal that the well-known under-pricing phenomenon of IPOs occurs only at the opening trading of new issues and vanishes afterwards. The return volatility of IPOs is found to be high during the first trading session, and declines rapidly during the rest of the first trading day until the end of the trading day. The intraday return volatility of IPOs is found to follow a double U-shape pattern, which is similar to that of the general market. A great deal of trading activity was recorded during the first five minutes of the trading day. Consistent results are obtained for IPOs registered during the pre-crisis and post-crisis periods. This paper has practical implications for investors. Investors can benefit from the under-pricing only if they subscribe for new shares in the primary market. There is, however, no profit-making opportunity for day traders who buy shares on the first trading day. This shows that the Hong Kong market is efficient in adjusting for the IPO under-pricing. In addition, it is likely that, because of Hong Kong's share allotment method, only big investors who apply for large numbers of shares can benefit from this under-pricing phenomenon. Copyright Blackwell Publishers Ltd, 2004.

We model the decision problem faced by a profit-maximizing clearinghouse, which sets fee and margin requirements for heterogeneous traders who may default. We capture the main trade-offs underpinning the clearinghouse’s choices: higher fee and better default protection come at the cost of decreased market volume. We show that the equilibrium margin requirements are determined not only by price volatility but also by trader fundamentals and funding costs. Our results (i) explain why margins are often comparatively high relative to fees and daily price movements; (ii) capture the “term-structure” of margins, in particular that some long maturity futures contracts tend to have lower margins; and (iii) predict high sensitivity of margins to funding costs. The online appendix is available at https://doi.org/10.1287/opre.2018.1742 .

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