From the NEEQ to the BSE:Research on Market Performance and Impact Mechanism of Mandatory Transfer Listing
CHEN Hui, XIAO Yue, WU Mengfei, CAI Guiming
School of Insurance, Guangdong University of Finance; School of Economics and Management, South China Normal University; School of Finance and Investment, Guangdong University of Finance; School of Economics and Finance, South China University of Technology
Summary:
The Beijing Stock Exchange (BSE) was registered on September 3, 2021, and officially commenced trading on November 15 after extensive preparations. All stocks on the NEEQ Select listed on the BSE mandatorily (hereinafter referred to as mandatory transfer listing, MTL), initiated an era with three concurrent stock exchanges in China. The establishment of the BSE is essential to the NEEQ, and the effects should be analyzed deeply. Exploring the market performance and impact mechanism of MTL not only promotes the development of the BSE but also deepens our understanding of the economic consequences of listing or tier transferring. Firstly, this study explores potential channels through which MTL might affect firm value. It empirically tests the initial, overall, and net listing effects of MTL, as well as MTL’s impact on stock liquidity, investor recognition, and price efficiency, using a sample of 45 companies that were already listed on the NEEQ Select prior to the announcement day. This study mainly draws on methods from Kadlec and McConnell (1994) and Li et al. (2008). Secondly, this study empirically tests the relationship between changes in stock liquidity, investor recognition, and price efficiency and the initial, overall, and net listing effect using regression. Thirdly, this study also examines the heterogeneity of the impacts of MTL. Fourthly, this study further explores the impact of MTL on similar companies within the Innovation Tier that meet the selection criteria of the NEEQ Select. The study finds that: (1) The market reaction to MTL is significantly positive, and the initial listing effect, overall listing effect, and net listing effect are 14.84%, 16.28%, and 8.77%, respectively. (2) Following MTL, the price impact significantly decreases, while turnover significantly increases; the number of institutional investors markedly rises, and the number of shareholders decreases, while the proportion of institutional shareholding does not show a significant increase. The price delay and the price informativeness significantly decrease, while the change of Gamma is not significant. (3) In regressions using the initial listing effect of individual stocks as the dependent variable, the coefficients for changes in the price impact, turnover, Gamma, and price delay are significantly negative, while those for changes in the number of institutional shareholders and price informativeness are significantly positive. In regressions using the overall and net listing effects of individual stocks as dependent variables, the coefficients for changes in turnover and Gamma become insignificant. (4) MTL has a larger positive impact on smaller companies and those with lower stock liquidity. (5) Compared with companies from the original NEEQ Select, the establishment of the BSE has a greater positive impact on similar companies within the NEEQ's Innovation Tier. Based on these findings, the study proposes the following policy suggestions: Firstly, the BSE should further expand market making, increase the inclusion of underlying stocks, and implement the institution of designated market making, if possible, to allow companies to purchase liquidity. Secondly, the BSE should reinforce securities regulation, improve the information disclosure quality, strengthen investor protection, and reduce the adverse selection cost faced by investors. Thirdly, the BSE should implement the listing standards strictly, and enhance the attractiveness of listing on the BSE through policy reforms. Fourthly, the BSE should increase institutional investors' enthusiasm in investing stocks on the BSE. The potential contributions of this study are as follows: First, it measures the economic value of MTL for the first time and explores the according mechanisms. In existing literature, decisions regarding listing or transferring are made voluntarily by firms; however, MTL decision is exogenous, thereby providing an excellent opportunity to directly measure the economic value of listing. Second, it enriches the studies of the economic consequences of transferring from non-exchange market to exchange market within the domestic context. Most literature in China focuses on tier transferring within non-exchange market or board transferring within exchange market, not on listing actions from non-exchange market to exchange market, making this study a valuable addition to existing literature. Third, the study explores the listing expectation effect following the establishment of the BSE for the first time. Post-MTL, companies on the Innovation Tier that have similar characteristics to those on the NEEQ Select may develop strong listing expectations, yet its magnitude has not been thoroughly investigated.
陈辉, 肖月, 吴梦菲, 蔡贵鸣. 从新三板到北交所:平移上市的市场绩效及其影响机制研究[J]. 金融研究, 2024, 526(4): 132-150.
CHEN Hui, XIAO Yue, WU Mengfei, CAI Guiming. From the NEEQ to the BSE:Research on Market Performance and Impact Mechanism of Mandatory Transfer Listing. Journal of Financial Research, 2024, 526(4): 132-150.
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