Risk and Trading on London's Alternative Investment Market

1. Front Matter

   Pages i-ix

   PDF

2. Introduction

   • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

   Pages 1-2

3. Activities

   • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

   Pages 3-4

4. Interviews

   • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

   Pages 5-6

5. Literature Review

   • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

   Pages 7-30

6. Empirical Analysis

   • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

   Pages 31-40

7. Preliminary Data Analysis

   • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

   Pages 41-48

8. Volatility Estimation

   • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

   Pages 49-53

9. Basic Analysis of Relative Volatility

   • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

   Pages 54-57

10. Relative Risk Allowing for Size, Age or Liquidity

    • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

    Pages 58-63

11. Regression Analyses with Multiple Variables

    • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

    Pages 64-72

12. Market-Switching Stocks

    • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

    Pages 73-82

13. GARCH Analysis of Switchers

    • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

    Pages 83-86

14. Conclusions

    • John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

    Pages 87-92

15. Back Matter

    Pages 93-111

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The alternative investment market (AIM) has seen rapid growth over its 19 years, and has emerged as the market of choice for smaller, newer companies, both in the UK and abroad. However, it has often had a volatile reputation among investors, who have commonly perceived stock in the AIM as more risky than the main market. In this book, a group of leading financial analysts conduct an extensive empirical study to compare the relative volatility of two UK equity markets run by the London Stock Exchange, over a ten year period. They analyse the comparative risks involved in the alternative investment market, the market of growing companies, and the 'main market', the market for more established companies. This book analyses the volatility of the alternative investment market, using a variety of techniques and approaches. It compares the volatility of stocks in the markets, exploring variables such as size, industry, age and market switches. Using refined methods to focus on the difference between the markets, the authors provide a convincing study to challenge the idea that the alternative investment market is higher risk than the main market.

• alternative investment market
• London Stock Exchange
• growing companies
• main market
• volatility
• Alternative Investment
• Investment
• Portfolio
• investments and securities

• ICMA Centre, Henley Business School, University of Reading, UK

  John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells

John Board is Dean at the Henley Business School, University of Reading, UK, and was previously Director of the ICMA Centre, University of Reading, UK. His recent research has focused on the organisation and regulation of financial markets.

Alfonso Dufour is Associate Professor of Finance at the ICMA Centre, University of Reading, UK. He has a background in financial econometrics and has conducted extensive research on market structures, intraday dynamics of asset prices, and liquidity.

Yusuf Hartavi is currently pursuing his PhD in the area of market microstructure at the ICMA Centre, University of Reading, UK, having obtained an MSc in International Securities, Investment and Banking. He has held professional positions at UniCredit Group as an Internal Auditor and at Istanbul Development Agency, the local authority for regional development.

Charles Sutcliffe is Professor of Finance at the ICMA Centre, University of Reading, UK. Previously he was Professor of Finance and Accounting at the University of Southampton; Visiting Professor at the London School of Economics and Political Science; and Northern Society Professor of Accounting and Finance at the University of Newcastle upon Tyne, UK.

Stephen Wells is an independent Consultant in Financial Market Development. His interest focuses on equity and bond markets in developed and developing countries, with particular emphasis on markets for smaller companies.

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