Liquidity, Volatility and Stock Price Adjustment: Evidence from Seasoned Equity Offerings in an Emerging Market

Chia-Cheng Ho (), Chin-Chuan Lee (), Chien-Ting Lin () and C. Edward Wang ()
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Chia-Cheng Ho: Department of Finance, National Chung Cheng University, Chia-Yi, 621, Taiwan, R.O.C.
Chin-Chuan Lee: Department of Finance, National Chung Cheng University, Chia-Yi, 621, Taiwan, R.O.C.
Chien-Ting Lin: International Graduate School of Management, Division of Business, University of South Australia, City West Campus, Adelaide SA 5000, Australia
C. Edward Wang: Department of Finance, National Chung Cheng University, Chia-Yi, 621, Taiwan, R.O.C.

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2005, vol. 08, issue 01, 31-51

Abstract: Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that investors with diverse views on the information content of SEOs are likely to induce larger trading activity and subsequent higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock price adjustment. However, the relations among liquidity, volatility and price movements appear to rely on how SEOs are conducted. A practical implication is that managers may influence liquidity and stock price movement through their choice of SEOs issuing methods.

Keywords: Liquidity; volatility; seasoned equity offerings; stock price adjustment; Taiwanese stock market (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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DOI: 10.1142/S0219091505000336

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