The effects of listing changes between NASDAQ mark

Authors: Wenbin Tang Hoang H Nguyen Van T Nguyen

Publish Date: 2011/07/20

Volume: 37, Issue: 4, Pages: 584-605

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Abstract

This study analyzes the effects of listing changes within NASDAQ market segments during the period of 1998 to 2005 We find that firms phased up from the NASDAQ Small Capital Market SmallCap to the NASDAQ National Market NNM experienced significant declines in bidask spreads the volatility of returns and the probability of informed trading and firms that phased down from NNM to the SmallCap experienced decreases in bidask spreads but insignificant changes in the volatility of returns and the probability of informed trading We also estimate simultaneous equations models of bidask spreads return volatility and trading volume for both groups of firms The results confirm that improved liquidity is associated with the listing changes for the phaseup firms However the simultaneous equations model suggests that the decreases in bidask spreads for the phasedown firms are caused by the changes in share pricesThe authors would like to thank the editor and an anonymous referee for their comments which significantly improved the focus of the paper The authors also thank William F Chappell Jon Moen Simona Lup Tick and Robert A Van Ness for their helpful comments and suggestions The views expressed are those of the authors and they assume full responsibility of all errors and omissions

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