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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/950

Title: Liquidity effects due to information costs from changes
Authors: Gregoriou, A
Ioannidis, C
Keywords: Information Costs, Trading Costs, Bid-Ask Spreads, Liquidity
Publication Date: 2003
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 03-02
Abstract: In this paper we examine effect on the returns of firms that have been included to and deleted from the FTSE 100 over the time period of 1984-2001. Like the S&P 500 listing studies, we find that the price and trading volume of newly listed (deleted) firms increases (decreases). The evidence is consistent with the information cost/liquidity explanation. This is because investors hold stocks with more (less) available information, consequently implying that they have lower (higher) trading costs. This explains the increase (decrease) in the stock price and trading volume of newly listed (deleted) stocks to (from) the FTSE 100 List.
URI: http://bura.brunel.ac.uk/handle/2438/950
Appears in Collections:School of Social Sciences Research Papers
Economics and Finance

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