Volatilité, activité et bruit de transaction après distribution d'actions gratuites

Wissem Daadaa and Mohamed Tahar Rajhi

Revue française de gestion, 2008, vol. n° 187, issue 7, 83-97

Abstract: In this paper we test the variation of volatility around the announcement and the execution days of stock splits and stock dividends in Tunisian stock market. The various indicators confirm the increase in volatility following the execution day of stock splits. However, the results do not envisage any significant variation of volatility around stock dividends. Lighting on the various explanatory factors of this variation makes it possible to note the generating effect of the relative bidask spread, the trading activity and a substantial increase in the number of the small trade after stock splits.

Date: 2008
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