خصوصی سازی و نقدینگی بازار سهام

This paper shows that share issue privatization (SIP) is a major source of domestic stock market liquidity in 19 developed economies. Particularly, privatization IPOs have a negative effect on the price impact – measured by the ratio of the absolute return on the market index to turnover. This result is robust to the inclusion of controls for other observable and unobservable factors, having also considered the endogenous nature of the decision to privatize. We also provide evidence of a positive spillover of SIP on the liquidity of private companies. This cross-asset externality is one implication of liquidity theories emphasizing the improved risk diversification opportunities and risk sharing brought about by privatization. This externality stems from both domestic privatization IPOs and cross-listings.

Financial market development is mentioned as one of the primary objectives of share issue privatization (SIP) programs in developed economies. One of the first experiments to foster the domestic stock market through privatization was carried out in Germany during the 1960s by the Adenauer government (Esser, 1994). More recently, the promotion of investors’ participation and the revitalization of national exchanges have been top priorities of privatization programs not only in the United Kingdom, but also in France, Spain, and Italy (Vickers and Jarrow, 1988, Dumez and Jeunemaître, 1994 and Chiri and Panetta, 1994). A remarkable wealth of evidence shows the correlation between financial market development and privatization. For instance, stock trading volume in developed countries outside the US grew from a little over $400 billion in 1983 to more than $12 trillion in 2002, while massive privatization plans were in progress (Megginson, 2005). Yet, stock markets develop also in the absence of privatization. Indeed, the US experienced an exponential growth in capitalization and turnover during the same years with only limited privatization. So does privatization contribute to the development of stock markets? Some theories suggest that it should. Due to the positive externalities generated by listing decisions, privatization initial public offerings (IPOs) may jumpstart an economy’s stock market by improving investors’ diversification opportunities (Pagano, 1993 and Subrahmaniam and Titman, 1999). Moreover, SIPs involving the floating of shares in both domestic and international exchanges (SIPs with cross-listings) reduce informational barriers to foreign investment and enlarge firms’ shareholder base (Mendelson, 1985 and Chiesa and Nicodano, 2003) thereby boosting liquidity in the domestic market. Despite the relevance of these issues, a comprehensive empirical analysis concerning the impact of privatization on equity markets in developed countries is still missing in the literature. This paper aims at filling this gap. We relate measures of privatization to a fundamental aspect of stock market development: market liquidity. A deeper secondary market allows companies to raise capital at a lower price (Ellul and Pagano, forthcoming) by reducing investors’ required return (Amihud and Mendelson, 1986). Furthermore, liquidity – rather than capitalization – provides incentives for information acquisition to financial analysts. This in turn stimulates the use of stock-based managerial incentive schemes, which may enhance corporate performance and growth (Hölmstrom and Tirole, 1993). Empirically, the initial level of stock market liquidity is a robust predictor of economic growth and capital accumulation, while initial capitalization is not (Levine and Zervos, 1998 and Levine, 1997). In order to capture the variation in market liquidity we first construct an aggregate measure of the price impact, inspired by the Amihud illiquidity index (Amihud, 2002). Price-impact measures for the US stock market have usually been computed as averages of the price impact of individual companies (see for example Acharya and Pedersen, 2005). In contrast to this approach, we compute the price impact of the stock index, i.e. the ratio of the absolute return on the index to total trading volume, and show that our proxy moves closely together with the average of the individual price-impact measures. Our analysis, covering 19 developed economies in the 1985–2002 period, shows that SIP positively affects stock market liquidity. The effect of privatization is robust to the inclusion of several other possible determinants of liquidity identified by the theoretical literature, as well as for country-specific and time-varying factors. Albeit new relative to previous research, these results could be ascribed to the higher liquidity of privatized stocks themselves, which are usually the bellwether and most actively traded stocks in the market (Keloharju et al., 2004). Contrasting this view, we point out an externality effect associated with privatization: SIPs, both domestic issues and cross-listings, enhance the liquidity of private companies as well. This positive cross-asset externality is a primary implication of liquidity theories that imply that privatization may bring along both risk reduction and improved risk sharing ( Mendelson, 1985, Chiesa and Nicodano, 2003, Pagano, 1993 and Subrahmaniam and Titman, 1999). Indeed new domestic privatization IPOs allow for better diversification opportunities for local investors, while cross-listed ones may enlarge the shareholders’ base to foreigners and reduce informational barriers. To the best of our knowledge, Amihud et al. (1997) is the only paper that provided evidence on cross-asset externalities, finding that the introduction of an improved trading method for a subset of stocks generated price increases for stocks that traded under the old method. In that paper, the spillover arises from improvements in the trading method rather than new privatization listings. Our research is related to the vast literature on the effects of privatization on financial market development (see Megginson, 2005 for an excellent survey). To our knowledge, the only paper addressing explicitly the relation under study is Boutchkova and Megginson (2000). The authors of that paper regress the turnover ratios for individual markets on the number of privatization deals (SIPs and asset sales) and find a significant positive relation. Our paper complements this evidence by both using a more precise measure of liquidity, the Amihud index, and accounting for endogeneity issues. Moreover, we identify the channels through which SIP affects market liquidity and isolate spillovers in liquidity and turnover to non-privatized firms. Our study complements existing evidence on stock market liberalization, which mainly refers to developing and emerging economies. In that context, privatization is usually linked to a country’s decision to allow for foreigners’ stock purchases. A burgeoning empirical literature has shown the effects of such liberalization on equity prices, the cost of capital, investment, and systemic liquidity (Henry, 2000, Stulz, 1999, Bekaert and Harvey, 2000, De Jong and De Roon, 2005, Jain-Chandra, 2002 and Patro and Wald, 2005). The OECD countries considered in this study did not have formal barriers to foreign investment during the sample period. This allows us to isolate more accurately the effect of privatization on liquidity, while controlling for the degree of economic openness and for the intense financial integration which took place, especially among the European countries, during the 1990s. In the next section, we provide a conceptual framework to analyze how privatization may affect stock market liquidity. The review of theoretical models allows us to both set forth some empirical implications and identify the potentially relevant privatization measures to be used in the econometric analysis. Sections 3 and 4 present the data set and our empirical model. The results are discussed in Section 5. Section 6 concludes.

This paper contributes to understanding the sources of variation in market liquidity by studying price impact and turnover of 19 stock market indexes. We document that liquid- ity is enhanced by share issue privatization, as often claimed by policymakers. The results survive the inclusion of several controls for other observable and unobservable factors and are robust to endogeneity concerns. Privatization-related reductions in the aggregate price impact are not simply driven by the liquidity of privatized stocks themselves, but also by a cross-asset externality generated by SIP. In other words privatization has a spillover effect on the price impact of non-privatized stocks, besides the perhaps trivial impact on the liquidity of privatized companies’ shares. This externality is related to both domestic privatization IPOs and cross-listings. We sug- gest to interpret this finding in the light of liquidity theories that emphasize the role of risk diversification and risk sharing as well as positive listings externalities. Through privatiza- tion, governments allow for the trading of company related risk which was not tradable before, thereby allowing for increased diversification. Through cross-listings, governments enhance foreign investors’ recognition and participation in privatized stocks, lowering the overall risk borne by domestic investors. Both effects reduce the required risk premium thereby increasing the liquidity of private securities listed in the domestic stock market