Volatility increases Subsequent to NYSE and AMEX Stock Splits
研究发现美国证券交易所股票拆分后日收益率波动性增加幅度小于纽约证券交易所，交易地点是重要因素，周度数据下美国证券交易所股票波动性无增加，表明买卖价差和交易所差异是主因。
ABSTRACT The post‐split increase in daily returns volatility is less for AMEX stocks than for NYSE stocks. The exchange trading location is a significant factor in explaining the volatility shift even after stock price and firm size are considered. Furthermore, when measured on a weekly basis, there is no increase in AMEX stocks' returns volatility. These results suggest that measurement errors created by bid‐ask spreads and the 1/8 effect, and also one or more of the elements that make the NYSE different from the AMEX, explain why the estimated volatility of daily stock returns increases after the ex split date.