An analysis of changes in liquidity around share splits

Surveys of U.S. market participants reveal a belief that liquidity improves following a share split. Contrary to this, empirical studies on U.S. markets generally conclude that liquidity worsens. These contradictory views have as yet not been reconciled. Furthermore, there is little evidence as to the charge of liquidity on the Johannesburg Stock Exchange ("the JSE"). The primary objective of this study is to understand how liquidity, as measured by trading volumes, changes around a share split on the JSE. The study also seeks to gain a more precise understanding of the nature of any change in liquidity in order that it may be related to the effect that a split has on volatility and returns. Twenty-three share splits were selected from the period between December 1990 and June 1996. These splits were screened to ensure that no contemporaneous events were present which may have influenced the results. Five study periods were then defined around each split.

Grantor dc:publisher.institution

College of Accounting

Year dc:date.issued

1997

Author dc:creator

• Smith, Brian Ashley

Advisor dc:contributor.advisor

• Uliana, Enrico

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/17535

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/17535