The Economics of Stock Exchange Listing Fees and Listing Requirements

This paper investigates the once and future role of listing fees. We consider the theory of listing fees and why such a pricing structure initially evolved. We show how capital market developments have changed the desirability, and even viability, of this pricing structure. We then analyze the economics of listing fees. While providing revenue to the exchange, listing fees impose large (opportunity) costs, and we analyze this trade-off, presenting evidence from the New York Stock Exchange. We also discuss what types of listing requirements make economics sense for exchanges (or perhaps regulators) to impose on companies. Finally we consider whether listing fees will continue to survive. Journal of Economic Literature Classification Numbers: G10, G18, K22, K23.     

证券交易所竞争上市公司资源研究综述

本文把证券交易所上市资源竞争看成是证券交易所、企业和投资者三方间的博弈，并从证券交易所间竞争的途径与方法、企业的上市选择、投资者选择证券交易所以及证券交易所竞争产生的影响等方面归纳总结国内外学者的研究成果，希望能给国内学者进一步深入研究提供参考，同时给我国证券交易所应对上市资源竞争和企业上市选择提供借鉴。     

Liquidity skewness in the London Stock Exchange

We study liquidity on the London Stock Exchange. We find that the average bid-ask spread declines, but that the skewness of the spread increases. These results are robust to firm size, trading volume and price level. Our findings hold when the bid-ask spread is estimated utilising high frequency data. We find that the bid-ask spread prior to earnings announcements dates is significantly higher than that of post earnings announcements, suggesting that asymmetric information has driven the increase in liquidity skewness. We also find that the effect of earnings announcements is more pronounced in the 2007 global financial crisis, consistent with the notion that extreme market downturns amplify asymmetric information. Our overall evidence also implies that increased competition and transparent trading environments limit market makers' abilities to cross-subsidize bid-ask spreads between periods of high and low levels of asymmetric information.     

Liquidity Commonality in the London Stock Exchange

Abstract:  A number of events such as the international market crash of October 1987 and the 1997 East Asian crisis show that individual firm liquidity is affected by market-wide factors. However, research in systematic liquidity is still at an embryonic stage and given the gap in the literature, the paper offers first time evidence (to the best of our knowledge) on the presence of systematic liquidity in the UK using FTSE100 and FTSE250 stocks. The unique setting of the London Stock Exchange as regards changes in trading regimes, allows an original answer as to whether changes in the nature of market making from obligatory to non-obligatory, affect commonality in liquidity. Results indicate that commonality is quite strong for FTSE100 stocks at individual and portfolio level, while for the FTSE250 it is strong only at portfolio level. Overall commonality is on average similar across trading regimes, irrespective of the nature of the provision of liquidity.     

Asset Liquidity and Stock Liquidity: International Evidence

This study examines the relationship between asset liquidity and stock liquidity across 47 countries. In support of the valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More importantly, our study shows that asset liquidity plays a more significant role in resolving valuation uncertainty in countries with poor information environment. For example, we find that the asset–stock liquidity relationship is stronger in countries with poor accounting standards. We further find evidence that after the adoption of IFRS, the improved accounting information environment results in a weaker asset–stock liquidity relation, but only in countries with a strong legal regime. Finally, our study shows that the positive asset–stock liquidity relationship may be attributed to transparency and/or liquidity reasons.     

Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View

The trading mechanism for equities on the Tokyo Stock Exchange (TSE) stands in sharp contrast to the primary mechanisms used to trade stocks in the United States. In the United States, exchange-designated specialists have affirmative obligations to provide continuous liquidity to the market. Specialists offer simultaneous and tight quotes to both buy and sell and supply sufficient liquidity to limit the magnitude of price changes between consecutive transactions. In contradistinction, the TSE has no exchange-designated liquidity suppliers. Instead, liquidity is provided through a public limit order book, and liquidity is organized through restrictions on maximum price changes between trades that serve to slow down trading. In this article, we examine the efficacy of the TSE's trading mechanisms at providing liquidity. Our analysis is based on a complete record of transactions and best-bid and best-offer quotes for most stocks in the First Section of the TSE over a period of 26 months. We study the size of the bid-ask spread and its cross-sectional and intertemporal stability; intertemporal patterns in returns, volatility, volume, trade size, and the frequency of trades; and market depth based on the response of quotes to trades and the frequency of trading halts and warning quotes.     

Liquidity Dynamics Around Jumps: The Evidence from the Warsaw Stock Exchange

The aim of our study is to examine the dynamics of trading volume and the number of trades around jumps detected in intraday stock returns. We detect jumps in equally spaced 10-minute returns for most liquid stocks quoted on the Warsaw Stock Exchange within one-year sample period. We match jumps with macroeconomic and firm specific news. We find that only the minority of jumps is associated with public information releases, whereas the majority of them is motivated by liquidity shocks observed in the spreads, volume, and the number of trades. Our findings show that jumps are related to the inability of the market to absorb new and big orders. Liquidity shocks in volatility, volume, and quoted spread are the key drivers accompanying the occurrence of the jumps. Finally, the introduction of a faster and more efficient trading system improves the liquidity by increasing the depth of the market.     

Convertible Bonds and Stock Liquidity

This paper shows that the probability of exercise of convertible bonds issued against a firm’s stock directly affects the liquidity of the stock itself. Using the ratio of absolute stock return to its dollar volume as a proxy for stock liquidity I demonstrate that there is a direct and positive relationship between conversion probability and stock liquidity while controlling for firm size, book to market equity value and firm beta. I describe the effect of unlisted convertible debt on the liquidity of listed firms in the US, Korea and Singapore. The effects of conversion probability on stock liquidity are less pronounced for smaller firms, which helps explain time series variations in the liquidity premiums for smaller firms over time. The relationship between convertibles and stock liquidity is mainly attributed to the expected increase in the number of shares available for trade upon conversion and the expected change in the capital structure of the firm.     

境外股东持股与股票流动性

是否对境外资本开放我国上市公司股权以及开放程度大小,是我国国际化进程中需要考虑的重要问题,本文使用手工收集的上市公司境外股东持股数据,研究了境外股东持股对股票流动性的影响。研究发现,境外股东持股会显著降低上市公司的股票流动性;在股票信息含量较低的公司,境外机构股东对流动性的负向影响更强,但境外个人股东对流动性的负向影响减弱,并且这种增量效应只体现在国有股持股比例较高的公司。     

Credit Ratings and Stock Liquidity

We analyze contemporaneous and predictive relations betweencredit ratings and measures of equity market liquidity and findthat common measures of adverse selection, which reflect a portionof the uncertainty about future firm value, are larger whencredit ratings are poorer. We also show that future rating changescan be predicted using current levels of adverse selection.Collectively, our results validate widely used microstructuremeasures of adverse selection and offer new insights into thevalue of credit ratings and the specific nature of the informationthey contain.     

Stock Market Declines and Liquidity

Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be fully explained by changes in demand for liquidity or volatility effects. We document interindustry spillover effects in liquidity, which are likely to arise from capital constraints in the market making sector. We also find economically significant returns to supplying liquidity following periods of large drops in market valuations.     

REIT Stock Splits and Liquidity Changes

This study examines the motive of stock splits made by REITs. We find that REIT liquidity increases after the split announcement. However, the increase in liquidity is limited to days around the split announcement. After the ex-date, the liquidity tends to revert back to the pre-split level. We find that the positive market reaction around the announcement date is positively related to the change in short-term liquidity but not to the change in long-term liquidity. The announcement effect is also not correlated with future changes in operating performance. Overall, our results suggest that REITs split their share to attract investors’ attention rather than to signal or to improve trading liquidity in the long run.     

股票流动性与企业资本配置效率

本文从市场微观结构的角度,研究我国上市公司股票流动性和资本配置效率之间的经验关系,发现股票流动性有助于降低企业非效率投资,这种负相关关系具体表现为流动性有助于缓解投资不足并抑制过度投资;进一步研究表明,股票流动性主要通过降低代理成本和提升股价信息含量等机制改善资本配置效率。本文研究结论表明,只有继续优化股权结构与公司治理、规范信息披露制度并加强内幕交易打击力度,才能增强市场流动性并提高资本配置效率。     

Internationalization and Stock Market Liquidity*

What is the impact of internationalization (firms raising capital and trading in international markets) on the liquidity of the remaining firms in domestic markets? To address this question, we assemble a panel database of nearly 2,900 firms from 45 emerging economies over the period 1989–2000, constructed from annual and daily data. First, we find evidence of migration. The domestic trading of firms that cross-list or issue depositary receipts in foreign public exchanges tends to decrease, while a significant proportion of their trading activity concentrates in international markets. Second, this migration is negatively related to the liquidity of the remaining firms in their home market through two separate channels. There are liquidity spillovers within markets: Aggregate domestic trading activity is positively associated with the liquidity of individual firms in the same market. Moreover, the proportion of trading abroad is negatively related to the liquidity of firms in the domestic market. * The paper was revised while Schmukler was visiting the IMF Research Department. We thank Tatiana Didier and Juan Carlos Gozzi Valdez for truly outstanding research assistance. We are grateful to Franklin Allen and Marco Pagano for very useful and detailed comments. We also received very helpful suggestions from Gordon Alexander, Luca Benzoni, Stijn Claessens, Peter Henry, Eduardo Loyo, Ugo Panizza, Valery Polknichenko, Helene Rey, Michael Schill, Frank Warnock, two anonymous referees, seminar participants at Dartmouth College, the Econometric Society Meetings (Chile), the NBER IASE Meeting in PUC-Rio (Brazil), the University of Minnesota, the University of Virginia (Darden School of Business), the University of Zurich, and the World Bank. For help with the data, we thank particularly Florencia Moizeszowicz and also Pamela Dottin, Monica Erpen, Dori Flanagan, Marina Halac, Angela Marshall, Konstantinos Tzioumis, Richard Webster-Smith, and Cheryl Workman. Levine is grateful for generous financial support from the BSI Gamma Foundation. Schmukler thanks the World Bank Latin American Regional Studies Program and Research Support Budget for ample financial support. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors and do not necessarily represent the views of the World Bank.     

Alternative Liquidity Measures and Stock Returns

Abstract. This article compares the properties of several common liquidity measures including the bid-ask spread, the liquidity ratio and firm size. We also use the proportional hazard model to develop a new measure, the relative odds ratio, based on the volume necessary to move prices by a predetermined amount. Although each measure displays a liquidity premium, a composite measure better explaims expected returns, suggesting that liquidity is a multidimensional phenomenon.     

Executive Network Centrality and Stock Liquidity

We examine the relationship between stock market liquidity and the network centrality of firm executives. We find that firms whose executive officers are more central in the network of executives have narrower bid‐ask spreads. We use an exogenous network centrality shock of executive turnover and report that liquidity improves after firms hire executives with greater centrality. We present evidence that improved liquidity is attributable to efficient information flows around executives in more advantageous network positions.     

The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange

This study contrasts the call and continuous auction methods using Taiwan Stock Exchange data. Volatility under the call market method is approximately one-half of that under the continuous auction method. The call market method is more effective in reducing the volatility of high-volume stocks than low-volume stocks. This contradicts conventional wisdom which suggests that the call market method is superior for thinly traded stocks, while the continuous auction method is preferred for heavily traded stocks. The call market method does not impair liquidity and price discovery. The call market appears more efficient than in the continuous auction market.     

内地股市买壳上市操作法

买壳上市的整个操作过程并不像一般人想象得那么简单。整个过程涉及的方面很多,要想成功需要解决两大问题：取得控制权和注入资产