Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)

Mortazian, Mona

doi:10.1007/s10690-021-09344-6

Cited by 8 publications

(10 citation statements)

References 100 publications

(104 reference statements)

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“…Moreover, apart from corporate-specific factors, stocks’ volatility and returns are affected by the level of trading activity (( Jun et al, 2003 ); ( Mortazian, 2022 ). When market liquidity is high, there are sufficient buyers and sellers, allowing for smoother trading and minimizing the impact of large trades on stock prices.…”

Section: Methodsmentioning

confidence: 99%

The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan

Liu

Nemoto

Lu³

2023

Economic Analysis and Policy

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Section: Methodsmentioning

confidence: 99%

The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan

Liu

Nemoto

Lu³

2023

Economic Analysis and Policy

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“…Research on market reactions to the change of listing floor mainly encompasses the US and UK markets (Sanger & McConnell, 1986; Kadlec & McConnell, 1994; Dharan & Ikenberry, 1995; Jain & Kim, 2006; Campbell & Tabner, 2011; Vismara et al. , 2012; Jenkinson & Ramadorai, 2013; Mortazian, 2022). However, some works are based on data from other markets (Bacmann, Dubois, & Ertur, 2002; De Carvalho & Pennacchi, 2012; Park et al.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Meanwhile, the market usually poorly perceives the announcement of a transfer in the other, with positive returns dynamics afterward. Research on market reactions to the change of listing floor mainly encompasses the US and UK markets (Sanger & McConnell, 1986;Kadlec & McConnell, 1994;Dharan & Ikenberry, 1995;Jain & Kim, 2006;Campbell & Tabner, 2011;Vismara et al, 2012;Jenkinson & Ramadorai, 2013;Mortazian, 2022). However, some works are based on data from other markets (Bacmann, Dubois, & Ertur, 2002;De Carvalho & Pennacchi, 2012;Park et al, 2016, Ahmed, Aney, & Banerji, 2019Kwok, 2020;Bessler et al, 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Studies concerning switching companies from a trading venue to a more regulated market are based mainly on data from the US and UK markets, and they show that firms’ announcements of such events are associated with positive price reactions, followed by negative returns in the medium and long term (Sanger & McConnell, 1986; Kadlec & McConnell, 1994; Jain & Kim, 2006; Campbell & Tabner, 2011; Vismara et al. , 2012; Mortazian, 2022). Moreover, a stream of research on the effects of transfers in the context of firms’ operational performance suggests that firms perform worse in terms of operational performance after switching from a listing floor to a more regulated market (Papaioannou, Travlos, & Viswanathan, 2003, 2009).…”

Section: Introductionmentioning

confidence: 99%

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Listing switch and financial performance of companies: evidence from the Warsaw Stock Exchange

Podedworna-Tarnowska

2023

CEMJ

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PurposeThe purpose of this article is to present the results of empirical research concerning the identification of the impact of the transfer of companies from the alternative market to the regulated market of the Warsaw Stock Exchange on their operating and net performance.Design/methodology/approachThe study was conducted based on the empirical data of the companies that changed the listing place on the Warsaw Stock Exchange. Data regarding the years before the transfer were collected from the prospectuses of companies prepared mandatorily in connection with the transition to the regulated market. Data regarding the years of the event and subsequent years were obtained from companies' annual reports. As in other studies in the analysis, the operational metrics were used (operating return on sale, operating return on assets, total asset turnover), which was further extended to net profitability ratios (net return on ale, net return on asset, net return on equity). The significance analysis was based on the Student's t-test and Wilcoxon’s test.FindingsThe results show that before the transfer from the alternative market to the regulated market, companies improved financial performance. As a result of the change of listing venues, the results already collapsed in the year of the event. The downward trend continued in the following two years, with a noticeable improvement in the third year after the transfer.Originality/valueThe literature lacks such studies based on the Polish market. To the best knowledge of the author, this is one of the first studies in Poland showing the changes in operating and net performance of companies changing the stock listing venues. The research is based on a large group including all companies that have changed listing venues since the beginning of the alternative market in Poland. The article presents an original empirical result that can be used both by managers and investors in their decisions.

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“…However, volatility provides insights on potential rewards and liquidity, equally posing problems to the stock market's efficiency. Managing and mitigating this volatility is essential to maintaining a well-functioning stock market (Uhunmwangho & Omorokunwa, 2022;Mortazian, 2021;Mortazian, et al, 2019).…”

Section: Introductionmentioning

confidence: 99%

Stock market liquidity and volatility on the Nigerian Exchange Limited (NGX)

Ahmed Yahaya,

Stephen Alaba John,

Ademola Adegoroye

et al. 2023

World J. Adv. Res. Rev.

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Globally, the importance of stock markets in facilitating the smooth exchange of financial assets cannot be overemphasized. The efficiency of stock markets across the globe including Nigeria is largely dependent on the adequacy of stock market liquidity. However, studies have shown that the Nigerian stock market is inadequately liquid which has led to inefficient stock trading with high cost of trading. Therefore, this study investigates the effect of stock market liquidity on stock volatility on the Nigerian Exchange Limited (NGX). The study used an ex post facto research design with a sample of top 30 most capitalized and liquid companies accounting for over 90% total market capitalization and trading volume was purposively selected for the study. Secondary monthly data spanning January 2014 to December 2021 were obtained from Security and Exchange Commission Statistical Bulletin while that of exchange rate and inflation were obtained from Central Bank of Nigeria Statistical Bulletin. The GARCH (1,1) model was employed as the estimating techniques. The result of the mean equation shows that stock market liquidity (β = 759.64, p-value = 0.0000) has a significant positive impact on volatility. Also, macroeconomic factors (β = 0.0217, p-value = 0.0000) has a significant positive impact on volatility. The variance equation reveals that current conditional volatility of stock market liquidity and volatility is influenced by their previous shocks and past volatility conditions (ai + βj = 0.9970). The study also found evidence of volatility clustering (GARCH = 1.0056) on the NGX. Therefore, the study recommended that investors should diversify their portfolios by combining highly liquid and less liquid stocks to balance the risk across different liquidity profiles, while regulators and policymakers should implement policies that incentivize market makers to provide liquidity by offering rewards and reducing regulatory barriers.

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Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)

Cited by 8 publications

References 100 publications

The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan

The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan

Listing switch and financial performance of companies: evidence from the Warsaw Stock Exchange

Stock market liquidity and volatility on the Nigerian Exchange Limited (NGX)

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