1. ¹is Professor of Accounting at the University of La Rioja, Spain. She received her PhD in Finance at the University of La Rioja. Her major research interests are centred on rights offerings.
2. ²is Professor of Finance at the University of La Rioja, Spain. He received his PhD in Finance at the University of Zaragoza. His major research interest is financial economics, particularly dividend policy and seasoned equity offerings.
3. ³is Professor of Finance at the Public University of Navarre, Spain. He received his PhD in Finance at the University of Zaragoza, Spain. His research interests include the behaviour of stock prices, financial derivatives, mutual funds, and asset pricing.

Correspondence: Rafael Santamaría, Dpto Gestión de Empresas, Universidad Pública de Navarra, Campus de Arrosadía s/n, 31.006 Navarra, Spain, Tel: 34 948 169389; Fax: 34 948 169404; E-mail: rafael@unavarra.es

Received 17 May 2005.

Abstract

This paper examines the influence of the subscription rights market on the liquidity and the trading activity of ex-rights stocks during the subscription period. The results reveal that the liquidity of the ex-rights stocks, except on the two first trading days, increases during this period. Trading activity also increases, particularly in the first week and the last two weeks. The subscription rights market and the ex-rights stocks market, however, are not fully integrated markets and, in the case of non-free non-Ibex35 issues, they are practically segmented.