The dynamics of stock price during their listing and delisting

Abstract

This article discusses the factors affecting stock quotes on the stock exchange, and assesses the reaction of the stock market to listing and delisting of shares from lists of stock indices. A review of the literature on this issue revealed a significant variation in the conclusions of various authors regarding the extent of the impact of these events on the stock trading characteristics. The article shows that one of the reasons for these differences is incorrect application of the methods for assessing the impact of listing and delisting on stock prices, based on the assessment of their deviations in these events compared to their volatility in the previous periods of time. A new method for estimating this effect is proposed - the method of "trends separability" - as well as the corresponding criterion for assessing the significance of deviations of stock price when listing and delisting them. The use of this technique allowed us to show that there is a stable pattern in the effect of listing and delisting on the nature of trading in relevant stocks. All calculations were carried out on the basis of daily data on changes in stock prices included in the Dow Jones index lists and excluded from them, for the period 2008-2015.