Stock Split Bubble and Livedoor-Shock

Youki Kohsaka ()
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Youki Kohsaka: Graduate School of Economics, Osaka University

No 11-28, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: This paper examines whether the stock split bubble in Japan burst by not only reformed system, but also Livedoor-shock. It is difficult to identify the effects of the both events, because they occurred in the same month (January, 2006). Thus, I identify both effects by dividing the samples into the following three; the split stocks in the old system and the split stocks in the new system, the news of which was announced before and after Livedoor-shock. Empirical results reveal that restriction on trade of newly issued stocks in the old system caused the run-up in the stock price and that Livedoor-shock dissolved the run-up of the split stocks. These results suggest that stock splits bubble burst because of not only the reform of the system, but also the change in investor sentiment about split stocks.

Keywords: Stock Split Bubble; Livedoor-Shock; Investor Sentiment (search for similar items in EconPapers)
JEL-codes: G14 G35 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2011-10
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