Market-Switching Stocks

John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells
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John Board: Henley Business School, University of Reading
Yusuf Hartavi: Henley Business School, University of Reading
Stephen Wells: Henley Business School, University of Reading

Chapter 11 in Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, 2015, pp 73-82 from Palgrave Macmillan

Abstract: Abstract A significant number of stocks (273) have moved between the two markets. These stocks allowed us to study a single event, a market switch, abstracting from other company-specific factors. Again a succession of progressively more complex analyses were applied. After controlling for overall market volatility, the simple switchers analysis using ratios of pre and post-switch volatility to assess the impact of the switch had the following results: (1) When considering stocks switching from AIM to the Main Market, 71? of the switchers have greater volatility on AIM; (2) When considering stocks switching from the Main Market to AIM, 42? of these have greater volatility on AIM; (3) Overall, switching stocks showed marginally higher volatility on AIM. These results are consistent with the notion that AIM is viewed as slightly more risky.

Keywords: Market Capitalization; Market Risk; Market Volatility; Relative Volatility; Sample Stock (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-36130-1_11

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DOI: 10.1057/9781137361301_11

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