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Market-Switching Stocks

In: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies

Author

Listed:
  • John Board

    (Henley Business School, University of Reading)

  • Alfonso Dufour

    (Henley Business School, University of Reading)

  • Yusuf Hartavi

    (Henley Business School, University of Reading)

  • Charles Sutcliffe

    (Henley Business School, University of Reading)

  • Stephen Wells

    (Henley Business School, University of Reading)

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.

Suggested Citation

  • John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Market-Switching Stocks," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 11, pages 73-82, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-36130-1_11
    DOI: 10.1057/9781137361301_11
    as

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