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      Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan

      1 , ,
      International Journal of Banking and Finance
      UUM Press

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          Abstract

          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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          Author and article information

          Contributors
          United States
          Taiwan
          Taiwan
          Journal
          International Journal of Banking and Finance
          UUM Press
          March 17 2003
          : 1
          : 45-72
          Affiliations
          [1 ]University of North Carolina, U.S.A
          Article
          8328
          10.32890/ijbf2003.1.1.8328
          7fa35825-a7bd-4cac-8933-ee8dddffb887

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          History

          General economics,Financial economics,International economics & Trade,Industrial organization,Macroeconomics,Microeconomics

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