تغییر در فعالیت های تجاری در نوسانات و جزء کژ گزینی: شواهد از انشعابات ADR

We examine the change in volatility, adverse selection cost, and trading activity for all American Depository Receipts stock splits over the period of 1994–1999. We find higher return volatility, more trading activity (mainly small trades), and lower adverse selection cost post a split. Furthermore, our regression results suggest that the increase in volatility is mainly due to heightened trading activity, while the lower adverse selection cost is primarily the result of higher percentage of noise trading on split-up stocks.