This paper examines how frm-level idiosyncratic risk varies over time and afects initial public ofering (IPO). It revisits the relationship between Cumulative Abnormal Return (CAR) tiga puluh hari (CAR30D) dan Cumulative Abnormal Return (CAR) lima hari (CAR5D) and the Characteristics (IPO Floating shares, IPO Fund and Price) and Macroeconomics Condition (Inflation rate) using the cointegration analysis and VECM model. We also note that the idiosyncratic risk exposure depends on the IPO Characteristics. It is more important for firms going public in hot-issue markets, undervalued IPOs and high idiosyncratic-risk issues. The model suggest that the two series should cointegrated firstly. The approach of VECM method on modelling is done by several stages such as identification of stationarity, determining lag length, granger causality test, determining VECM model, VECM analysis, checking diagnostic, heteroskedasticity test, estimation of VECM model, checking diagnostic VECM. The paper found that Both LnFloat and LnPrice has causal evidence in the long-run causality or shortrun. But the variable of LnIPOFund has causal evidence in the short-run causality only.