Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)

Mona Mortazian ()
Additional contact information
Mona Mortazian: University of Bedfordshire, University Square

Asia-Pacific Financial Markets, 2022, vol. 29, issue 2, No 3, 195-220

Abstract: Abstract Companies moving from the Main market of London Stock Exchange to the AIM impair their information environment when entering the AIM; the information environment is measured by the stock’s liquidity and volatility. The primary empirical finding is that movement from the Main Market to the AIM decreases the liquidity and volatility of stocks. After controlling for the effects of factors that are known to affect stock liquidity and for the change in company characteristics after the movement date in the multivariate analysis, it is found that moving to the AIM is associated with a significant increase in Amihud illiquidity and the bid–ask spread and with a decrease in stock return volatility. The documented effects of movement to the AIM are found to be sustained over a long period of time following the movement event. This therefore implies that moving from the Main Market to the AIM is not improving the companies’ liquidity and volatility.

Keywords: Alternative investment market (AIM); Heckman two stage model; Liquidity; Multivariate analysis; Two-stage least squares (2SLS); Volatility (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1007/s10690-021-09344-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09344-6

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-021-09344-6

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().