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Volatilité, activité et bruit de transaction après distribution d'actions gratuites

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  • Wissem Daadaa
  • Mohamed Tahar Rajhi

Abstract

In this paper we test the variation of volatility around the announcement and the execution days of stock splits and stock dividends in Tunisian stock market. The various indicators confirm the increase in volatility following the execution day of stock splits. However, the results do not envisage any significant variation of volatility around stock dividends. Lighting on the various explanatory factors of this variation makes it possible to note the generating effect of the relative bidask spread, the trading activity and a substantial increase in the number of the small trade after stock splits.

Suggested Citation

  • Wissem Daadaa & Mohamed Tahar Rajhi, 2008. "Volatilité, activité et bruit de transaction après distribution d'actions gratuites," Revue française de gestion, Lavoisier, vol. 0(7), pages 83-97.
    • Handle: RePEc:cai:rfglav:rfg_187_0083
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