Abstract
A significant number of stocks (273) have moved between the two markets. These stocks allowed us to study a single event, a market switch, abstracting from other company-specific factors. Again a succession of progressively more complex analyses were applied. After controlling for overall market volatility, the simple switchers analysis using ratios of pre and post-switch volatility to assess the impact of the switch had the following results: (1) When considering stocks switching from AIM to the Main Market, 71? of the switchers have greater volatility on AIM; (2) When considering stocks switching from the Main Market to AIM, 42? of these have greater volatility on AIM; (3) Overall, switching stocks showed marginally higher volatility on AIM. These results are consistent with the notion that AIM is viewed as slightly more risky.
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© 2015 John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells
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Board, J., Dufour, A., Hartavi, Y., Sutcliffe, C., Wells, S. (2015). Market-Switching Stocks. In: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies. Palgrave Pivot, London. https://doi.org/10.1057/9781137361301_11
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DOI: https://doi.org/10.1057/9781137361301_11
Publisher Name: Palgrave Pivot, London
Print ISBN: 978-1-349-47228-4
Online ISBN: 978-1-137-36130-1
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