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The effects of listing changes between NASDAQ market segments

Author

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  • Wenbin Tang
  • Hoang Nguyen
  • Van Nguyen

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 bid-ask spreads, the volatility of returns, and the probability of informed trading, and firms that phased down from NNM to the SmallCap experienced decreases in bid-ask spreads, but insignificant changes in the volatility of returns and the probability of informed trading. We also estimate simultaneous equations models of bid-ask 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 phase-up firms. However, the simultaneous equations model suggests that the decreases in bid-ask spreads for the phase-down firms are caused by the changes in share prices. Copyright Springer Science+Business Media, LLC 2013

Suggested Citation

  • Wenbin Tang & Hoang Nguyen & Van Nguyen, 2013. "The effects of listing changes between NASDAQ market segments," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 584-605, October.
    • Handle: RePEc:spr:jecfin:v:37:y:2013:i:4:p:584-605
    DOI: 10.1007/s12197-011-9198-3
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    1. Zhang, Xiaotao & Wang, Ziqiao & Hao, Jing & He, Feng, 2022. "Price limit and stock market quality: Evidence from a quasi-natural experiment in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).

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    More about this item

    Keywords

    Listing Change; NASDAQ Market Segments; Transparency Effect; Consolidation Effect; Fragmentation Effect; G14; G18;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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