Firm-Initiated and Exchange-Initiated Transfers to Continuous Trading: Evidence from the Warsaw Stock Exchange
26 Pages Posted: 9 May 2004
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Firm-Initiated and Exchange-Initiated Transfers to Continuous Trading: Evidence from the Warsaw Stock Exchange
Date Written: January 2005
Abstract
We examine 59 transfers from call auctions to continuous trade on the Warsaw Stock Exchange. The transferred stocks experience an average excess return of about 13%, which can be partly explained by their significant liquidity improvements. Significant liquidity and value reactions are also found in a subsample of transfers initiated by the companies themselves. We are the first to study firm-initiated transfers to continuous trading, and our evidence suggests that exchanges should allow firms that desire so to move their stock to continuous trading.
JEL Classification: G12, G14
Suggested Citation: Suggested Citation
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