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Transfert de marché de cotation : Motivations et Conséquences

Author

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  • A.K Cisse

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

Abstract

Cette étude empirique a pour objet d'analyser les effets d'un changement de marché de cotation sur la rentabilité, la liquidité et le risque systématique. Elle porte sur des sociétés qui ont transféré le marché de cotation de leurs titres d'un compartiment non réglementé à un compartiment réglementé du marché français (Euronext Paris) entre 1995 et 2005. Globalement, les résultats montrent une réaction positive du marché à l'annonce du transfert et une amélioration du niveau de liquidité. Cette réaction est d'autant plus forte que les titres de la société étaient moins liquides avant l'annonce du transfert. Par ailleurs, les différents tests sur le changement du niveau de liquidité ont montré une augmentation statistiquement significative du ratio d'Amihud pour les titres les moins liquides. Par contre, concernant les titres à liquidité élevée, nous n'avons observé des preuves d'amélioration qu'après l'introduction sur le nouveau compartiment et non juste après l'annonce. Enfin, notre étude met en évidence que le transfert réduit la volatilité, mais n'a pas d'effet significatif sur le risque systématique.

Suggested Citation

  • A.K Cisse, 2011. "Transfert de marché de cotation : Motivations et Conséquences," Post-Print halshs-00658730, HAL.
    • Handle: RePEc:hal:journl:halshs-00658730
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00658730
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