The UK Equity Market Around the Ex-Split Date

Posted: 25 Nov 2007 Last revised: 7 Jul 2009

See all articles by Elena Kalotychou

Elena Kalotychou

Cass Business School, City, University of London

Sotiris K. Staikouras

City University - Cass Business School; ALBA Graduate Business School

Maxim Zagonov

Toulouse Business School, Université de Toulouse

Date Written: 2009

Abstract

Using UK stock market data this study unveils positive abnormal returns on and around the ex-split date. These excess returns are partially predictable using the publicly available information prior to the ex-split date. There is also a persistent increase in the post-split volatility of these stocks with the results being robust to the choice of the volatility proxy. Post-split volatility is found to be positively related to trading activity. Contrary to the US findings, volatility dynamics following the stock split are better captured by changes in the daily trading volume rather than by the number of trades.

Keywords: Stock splits, Ex-split date, Equity abnormal returns, Stock market volatility

JEL Classification: C22, G14, G39

Suggested Citation

Kalotychou, Elena and Staikouras, Sotiris and Zagonov, Maxim, The UK Equity Market Around the Ex-Split Date (2009). Journal of International Financial Markets, Institutions and Money, Vol. 19, pp. 534-549, 2009, Available at SSRN: https://ssrn.com/abstract=1032185

Elena Kalotychou

Cass Business School, City, University of London ( email )

106 Bunhill Row
London, EC1Y 8TZ
Great Britain

Sotiris Staikouras (Contact Author)

City University - Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

ALBA Graduate Business School ( email )

Athinas Ave. & 2A Areos Str.
Vouliagmeni 166 71, Athens
Greece

Maxim Zagonov

Toulouse Business School, Université de Toulouse ( email )

20 bd Lascrosses
Toulouse, Select State 31068
France
+33(0)561294974 (Phone)
+33(0)561294994 (Fax)

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