City University of Hong Kong
DSpace
 

CityU Institutional Repository >
3_CityU Electronic Theses and Dissertations >
ETD - Dept. of Economics and Finance  >
EF - Doctor of Philosophy  >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2031/4425

Title: Stock splits, liquidity, and information asymmetry : an empirical study on Tokyo Stock Exchange
Other Titles: Gu piao fen chai, liu dong xing, ji zi xun bu dui chen xing : Dongjing gu piao jiao yi suo shi zheng fen xi
股票分拆, 流動性, 及資訊不對稱性 : 東京股票交易所實證分析
Authors: Guo, Fang (郭方)
Department: Dept. of Economics and Finance
Degree: Doctor of Philosophy
Issue Date: 2006
Publisher: City University of Hong Kong
Subjects: Disclosure of information
Liquidity (Economics)
Stock exchanges -- Japan
Stock splitting
Notes: CityU Call Number: HG4028.S75 G86 2006
Includes bibliographical references (leaves 103-107)
Thesis (Ph.D.)--City University of Hong Kong, 2006
v, 134 leaves : ill. ; 30 cm.
Type: Thesis
Abstract: This study investigates effects brought by stocks splits on market characteristics and tries to give an explanation to results referring to existing hypotheses and previous empirical results of other researchers. I investigate changes on trading activity, volatility, liquidity, information asymmetry and the investors’ behavior around the stock split. The observation on the trading activity find increase one transactions reached at ask and more participation of small-amount investors. The result supports the signaling hypothesis, trading range hypothesis, and tick size hypothesis. The volatility when measured by inter-daily trading data shows no significant change but is significantly decreased when measured by intra-daily trading one. The result is supportive to the trading range hypothesis which predicts the increasing market’s stabilization. The result about liquidity effects shows that the liquidity is enhanced after stock splits. So the liquidity enhancement assumption predicted by the trading range hypothesis is supported by the empirical evidence. The result about information asymmetry shows that the adverse-selection component of the bid-ask spread decreases significantly after stock splits. And it supports the signaling hypothesis that predicts the reduction of information asymmetry due to the revelation of private information to the public after splits. The change of the information environment can be explained by the increase in noise trading that will reduce the adverse-selection component. The result on investors’ behavior shows that the appearance of both uninformed traders and informed traders increase significantly after stock splits. This finding supports the trading range hypothesis. The fact that the decrease on probability of informed trading (PIN) can explain the previous observation on trading activity, volatility, liquidity, and information asymmetry.
Online Catalog Link: http://lib.cityu.edu.hk/record=b2147223
Appears in Collections:EF - Doctor of Philosophy

Files in This Item:

File Description SizeFormat
fulltext.html157 BHTMLView/Open
abstract.html157 BHTMLView/Open

Items in CityU IR are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0!
DSpace Software © 2013 CityU Library - Send feedback to Library Systems
Privacy Policy · Copyright · Disclaimer