Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan
We examine the volatility, liquidity and returns effects on stocks that switch exchange listings from the ROSE to the TSE in Taiwan from 1992 to 2000. Switching firms earn statistically positive returns before the transfer day and earn statistically negative returns after that day. We find evidence...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2003-03-01
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| Series: | The International Journal of Banking and Finance |
| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8328 |
| _version_ | 1797958091611832320 |
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| author | Lloyd P. Blenman Dar-Hsin Chen Chang-Wen Duan |
| author_facet | Lloyd P. Blenman Dar-Hsin Chen Chang-Wen Duan |
| author_sort | Lloyd P. Blenman |
| collection | DOAJ |
| description | We examine the volatility, liquidity and returns effects on stocks that switch exchange listings from the ROSE to the TSE in Taiwan from 1992 to 2000. Switching firms earn statistically positive returns before the transfer day and earn statistically negative returns after that day. We find evidence of improved liquidity, ownership dispersion and actual trading volume for such firms. The relative volatility of trading volume, compared against the firms’ own histories, and volatility of returns also increase after a listing change. We show that increased trading volume and liquidity are associated with the abnormal returns around the transfer date. We find no evidence that the past earnings of firms significantly affect the abnormal returns realized in the post-listing period.
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| first_indexed | 2024-04-11T00:14:58Z |
| format | Article |
| id | doaj.art-0e9bed7ac61a4655a9f0760132804185 |
| institution | Directory Open Access Journal |
| issn | 2811-3799 2590-423X |
| language | English |
| last_indexed | 2024-04-11T00:14:58Z |
| publishDate | 2003-03-01 |
| publisher | Universiti Utara Malaysia |
| record_format | Article |
| series | The International Journal of Banking and Finance |
| spelling | doaj.art-0e9bed7ac61a4655a9f07601328041852023-01-09T03:08:58ZengUniversiti Utara MalaysiaThe International Journal of Banking and Finance2811-37992590-423X2003-03-0111Exchange Listing Changes: Volatility and Liquidity Effects in TaiwanLloyd P. Blenman0Dar-Hsin Chen1Chang-Wen Duan2University of North Carolina, U.S.ATamkang University, TaiwanTamkang University, TaiwanWe examine the volatility, liquidity and returns effects on stocks that switch exchange listings from the ROSE to the TSE in Taiwan from 1992 to 2000. Switching firms earn statistically positive returns before the transfer day and earn statistically negative returns after that day. We find evidence of improved liquidity, ownership dispersion and actual trading volume for such firms. The relative volatility of trading volume, compared against the firms’ own histories, and volatility of returns also increase after a listing change. We show that increased trading volume and liquidity are associated with the abnormal returns around the transfer date. We find no evidence that the past earnings of firms significantly affect the abnormal returns realized in the post-listing period. https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8328 |
| spellingShingle | Lloyd P. Blenman Dar-Hsin Chen Chang-Wen Duan Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan The International Journal of Banking and Finance |
| title | Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan |
| title_full | Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan |
| title_fullStr | Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan |
| title_full_unstemmed | Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan |
| title_short | Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan |
| title_sort | exchange listing changes volatility and liquidity effects in taiwan |
| url | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8328 |
| work_keys_str_mv | AT lloydpblenman exchangelistingchangesvolatilityandliquidityeffectsintaiwan AT darhsinchen exchangelistingchangesvolatilityandliquidityeffectsintaiwan AT changwenduan exchangelistingchangesvolatilityandliquidityeffectsintaiwan |