TY - JOUR
T1 - Firm-initiated and exchange-initiated transfers to continuous trading
T2 - Evidence from the Warsaw Stock Exchange
AU - Henke, Harald
AU - Lauterbach, Beni
PY - 2005/8
Y1 - 2005/8
N2 - 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 so desire to move their stock to continuous trading.
AB - 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 so desire to move their stock to continuous trading.
KW - Continuous trade
KW - Eastern europe stock markets
KW - Market microstructure
UR - http://www.scopus.com/inward/record.url?scp=22644432359&partnerID=8YFLogxK
U2 - 10.1016/j.finmar.2005.04.001
DO - 10.1016/j.finmar.2005.04.001
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AN - SCOPUS:22644432359
SN - 1386-4181
VL - 8
SP - 309
EP - 323
JO - Journal of Financial Markets
JF - Journal of Financial Markets
IS - 3
ER -