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Errores de medida, actividad de negociación y volatilidad de las rentabilidades tras los desdoblamientos de acciones
José Yagüe Guirao |
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This paper examines the effect of stock splits on return volatility at the Spanish stock market. We find a significant increase in volatility after the split. The measurement errors created by bid-ask spread and price discreteness do not explain the large increase in variance totally. Our results show that the increase in volatility is positively related to the change in total trading activity, and we do not detect significant differences in the analysis by different-size trades. Finally, we find stock splits do no affect on first-order autocorrelations of daily returns.
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