TY - JOUR
T1 - Market response to liquidity improvements
T2 - Evidence from exchange listings
AU - Elyasiani, Elyas
AU - Hauser, Shmuel
AU - Lauterbach, Beni
PY - 2000/2
Y1 - 2000/2
N2 - The study examines a sample of 895 stocks that moved from Nasdaq to the New York Stock Exchange or to the American Stock Exchange (Amex) between 1971 and 1994. We show how various measures of liquidity such as the bid-ask spread, trading volume, and stock price precision improve in somewhat different ways upon transfer to NYSE (Amex). We also find that reductions in trading costs (percentage spread) and in pricing error volatility (Hasbrouck’s σ5) can explain most of stock market’s positive response to exchange listing. Thus, liquidity has many facets and cannot be represented by the bid-ask spread alone.
AB - The study examines a sample of 895 stocks that moved from Nasdaq to the New York Stock Exchange or to the American Stock Exchange (Amex) between 1971 and 1994. We show how various measures of liquidity such as the bid-ask spread, trading volume, and stock price precision improve in somewhat different ways upon transfer to NYSE (Amex). We also find that reductions in trading costs (percentage spread) and in pricing error volatility (Hasbrouck’s σ5) can explain most of stock market’s positive response to exchange listing. Thus, liquidity has many facets and cannot be represented by the bid-ask spread alone.
KW - Common stock liquidity measures
KW - Stock exchange listing
UR - http://www.scopus.com/inward/record.url?scp=0010733967&partnerID=8YFLogxK
U2 - 10.1111/j.1540-6288.2000.tb01403.x
DO - 10.1111/j.1540-6288.2000.tb01403.x
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AN - SCOPUS:0010733967
SN - 0732-8516
VL - 35
SP - 1
EP - 14
JO - Financial Review
JF - Financial Review
IS - 1
ER -