Abstract
By examining the price and volume effects around announcements of switching exchanges by firms within structurally similar markets in Taiwan, we uncover that switching firms experience a trivial ‘‘announcement effect’’ at the application announcements and a pronounced price rise during the pre-listing period. This run-up is partially reversed over the listing days and post-listing period. Besides, we observe that stocks’ liquidity improves substantially following the application announcements, peaks around the listing days and diminishes after listing. However, we find no significant information effect by analyzing analysts’ earnings per share (EPS) forecasts around exchange listings. Overall, this study provides evidence in support of the hypothesis that previously documented stock price reversal following the listing is consistent with a price pressure caused by a temporary move in these securities’ demand curves. Also, there is some evidence of temporary liquidity effects around exchange listings.