An Empirical Examination of NYSE Stocks Voluntarily De‐listing from the Tokyo Stock Exchange

A number of US firms voluntarily de‐listed their stock from the Tokyo Stock Exchange (TSE) during the years 1977–97. We examine changes in trading volume, return volatility and implicit bid‐ask spreads in the U.S. stock exchange surrounding the de‐listing, and find evidence of an increase both in trading volume and bid‐ask spreads, particularly when the analysis is conditioned upon (a) trading volume on the TSE prior to de‐listing and (b) whether the de‐listing firm had operations in Japan. We also examine the daily stock price movement of the de‐listed firms and find a significantly negative price movement at the time of the de‐listing announcement, and also around the actual date of de‐listing. The results suggest a negative price response reflecting both a temporary information effect and also a more permanent valuation effect. Preliminary tests suggest that the latter is not related to the decrease in liquidity.