Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan

Authors

  • Lloyd P. Blenman University of North Carolina, United States
  • Dar-Hsin Chen Tamkang University, Taiwan, Province of China
  • Chang-Wen Duan Tamkang University, Taiwan, Province of China

DOI:

https://doi.org/10.32890/ijbf2003.1.1.3

Keywords:

Volatility, Liquidity, Abnormal Returns, Taiwan, and Listing Transfer

Abstract

We examine the volatility, liquidity and returns effects on stocks that switch exchange listings from the ROSE to the TSE in Taiwan from 1992 to 2000. Switching firms earn statistically positive returns before the transfer day and earn statistically negative returns after that day. We find evidence of improved liquidity, ownership dispersion and actual trading volume for such firms. The relative volatility of trading volume, compared against the firms’ own histories, and volatility of returns also increase after a listing change. We show that increased trading volume and liquidity are associated with the abnormal returns around the transfer date. We find no evidence that the past earnings of firms significantly affect the abnormal returns realized in the post-listing period.

 

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Published

17-03-2003

Issue

Vol. 1 No. 1 (2003): International Journal of Banking and Finance (IJBF) Vol. 1, No.1, 2003

Section

Articles

How to Cite

P. Blenman, L., Chen, D.-H., & Duan, C.-W. (2003). Exchange Listing Changes: Volatility and Liquidity Effects in Taiwan. International Journal of Banking and Finance, 1(1), 45-72. https://doi.org/10.32890/ijbf2003.1.1.3

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Harvested 2026-09-07
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Identifiers DOI 10.32890/ijbf2003.1.1.3 OpenAlex W207356021

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