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Tamaño De Transacciones, Introducción De Órdenes Y Preferencias Por Precios En Los Splits De Acciones

Listed author(s):
  • Juan Carlos Gómez Sala


    (Universidad de Alicante)

  • José Yagüe


    (Universidad de Murcia)

In this study we analyse the effect of stock splits on stocks¿ trading activity using intraday data from a sample of 46 stock splits from the Spanish stock market. In particular, we study changes to trading activity, trading composition, the information asymmetry of stocks, the distribution of the order flow, in order to test two versions of the liquidity hypotheses: the optimal relative tick size and the price preferences hypotheses. The results obtained suggest that stock splits do not uniformly improve liquidity of shares. Following stock splits there is a drop in trading volume and depth and a significant increase in the relative bid-ask spread. We detect a change in trading composition, with a statistically significant increase in the smallest transactions, fundamentally on the buyer side of the lowest priced shares. The level of information asymmetry does not diminish, given that the adverse selection component of the effective spread reduces only insignificantly for the full sample, although it falls significantly in small transactions. Finally there are significant changes in the percentage of orders that provide liquidity to the market. As a whole, the findings are consistent with the idea that splits, despite higher transaction costs, encourage the entry of new individual investors attracted by the lower stock prices. En este trabajo se analiza el efecto de los splits en la negociación de las acciones, utilizando datos intradiarios de una muestra de 46 activos del mercado de capitales español. Los resultados obtenidos sugieren que los splits no mejoran la liquidez, dado que se reduce el volumen de negociación y la profundidad, y se incrementa paralelamente el spread relativo. Se detecta un cambio en la composición de la negociación, con un incremento estadísticamente significativo de las transacciones pequeñas, fundamentalmente del lado comprador, en las acciones de precio relativamente más bajo. La asimetría informativa no disminuye, dado que el componente de selección adversa del spread efectivo se reduce de forma insignificante para el conjunto de la muestra, aunque cae significativamente en las transacciones pequeñas. Finalmente, no cambia significativamente el porcentaje de órdenes que suponen provisión de liquidez. En conjunto, la evidencia obtenida resulta consistente con la idea de que los splits, pese a los mayores costes de transacción, fomentan la entrada de nuevos inversores individuales atraídos por los menores precios de los títulos.

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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2002-29.

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Length: 38 pages
Date of creation: Oct 2002
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2002-29
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