Economic Consequences of Section Transfers in Japan: Change in Investor Base

Abo Rodrigue Majoie

Journal of Finance and Investment Analysis, 2021, vol. 10, issue 2, 1

Abstract: Transfer of stocks to a more regulated section within the same stock exchange is a quasi-natural experiment that enhances the investor base of companies. The purpose of this paper is to examine for the first time this investor base change and its price-impact. Considering the Japanese Exchange Group merger in 2012 and its structural amendments, the author uses a final sample of 181 firms between 2014-2019. An event study methodology is used to examine the abnormal returns and trading activity in relation to the investor base change proxy. The study also uses robust MM regression analysis to investigate whether the expected price-impact has is temporary or permanent. The results demonstrate that companies that had the largest positive shift in investor base also experienced the largest positive abnormal returns (+ 3.74%) and volume gains. Crucially, the author found no evidence of reversal of this price-impact, inconsistent with the price-pressure hypothesis. Instead, the increase in stock prices caused by section transfer to a more regulated section seems to be permanent.

Keywords: Section transfers; More regulated section; TSE1; TSE2; Investor Base Change; Permanent price-impact. (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/JFIA%2fVol%2010_2_1.pdf (application/pdf)

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:spt:fininv:v:10:y:2021:i:2:f:10_2_1

Access Statistics for this article

More articles in Journal of Finance and Investment Analysis from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().