The impact of mass delistings: evidence from Singapore and Malaysia

Abstract

The mass delisting of cross-listed stocks in the KLSE and SES provides us an interesting clinical case to examine the issue how delisting without firm-specific information will affect stock returns. Our results show that if delisting conveys no firm-specific information, it generates no abnormal returns although it still has effect on firm betas and trading volume. The mass delisting events also enable us to examine the impact of market segregation on the market trading volume, volatility, and market linkage. As expected, delisting leads to lower volatility and lower market linkage but it has no adverse effect on trading volume.