Firm-initiated and Exchange-initiated Transfers to Continuous Trading: Evidence from the Warsaw Stock Exchange
Harald Henke
European University Viadrina, Frankfurt (Oder)
Beni Lauterbach
Technion-Israel Institute of Technology; Bar Ilan University - S. Daniel Abraham School of Business Adminstration
Journal of Financial Markets, Forthcoming
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
Accepted Paper Series
Suggested Citation
Henke, Harald and Lauterbach, Beni, Firm-initiated and Exchange-initiated Transfers to Continuous Trading: Evidence from the Warsaw Stock Exchange. Journal of Financial Markets, Forthcoming. Available at SSRN: http://ssrn.com/abstract=648064
