Abstract
The general market behaviour of unseasoned new issues of Chinese A-shares and Australian common stock at the time of first day trading on respective stock exchanges is investigated, presenting a time-series analysis of the monthly volume and average initial returns on initial public offerings over a certain period of time. Also, the correlation of volume and underpricing among different groups of companies according to their size is studied. The underpricing of new stock issue defined as initial returns is widespread. The scale is extreme, especially on both the Shanghai Securities Exchange (SHSE) and Shenzhen Stock Exchange (SZSE) of China. The percentage of IPOs for small and medium sized enterprises is increasing in China and decreasing in Australia on average during the period presented in this paper. The results show that there is no significant difference in size between the companies listed on SHSE and SZSE in terms of total asset or revenue.