Testing Market Reaction On Stock Market Delisting In Russia (E. Rogova, M. Belousova, сетевое издание "Электронный журнал "Корпоративные финансы" Journal of Corporate Finance Research", N 3, 2021 г.)

Rogova. E., Belousova, M. Testing Market Reaction On Stock Market Delisting In Russia

E. Rogova - Dr of Economics, Professor, Department of Finance, National Research University Higher School of Economics, Saint Petersburg, Russia

M. Belousova - Analyst, PJSC MTS, Saint Petersburg, Russia

This paper expands the available information on the effects of delisting in Russia, and represents a rare empirical analysis of the impact of external events on securities prices in this major global market. We seek to evaluate how stock prices of competing companies fluctuate around the dates of stock market delisting announcements and completion.

We analyse stock prices as correlated with company delisting events from 2004 to 2019 on 552 companies on the Russian MOEX Exchange. The event study methodology is used to evaluate the abnormal returns of rival companies close to relevant delisting dates. These data were checked for statistical significance using the standardised Patell residual test. The results indicate a significant competitive effect on stock prices both on the dates of delisting announcement and on completion, with more significant returns close to announcement dates. These effects were found to influence the prospects not just of individual groups of companies, but of all market participants.

We may conclude from our results that delisting is not an event limited in effect to only one company, but impacts the industry as a whole, temporarily changing its value. As such, it will interest both shareholders and managers of public companies, and any participants of industries in which delisting occurs.

Keywords: delisting, delisting intra-industry effects, competitive effects, information effects, delisting abnormal returns