Recently, a number of studies have treated the importance of the stock market (or the listing on certain market segments) on the return of securities. These researches can be classified into three categories: the first one examines exchange listings in a national frame; the second one studies the influence of a double listing on both the national and the foreign markets3; finally, the third one observes the effect on stock prices of the inclusion in or the exclusion from an index4. The aim of

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... ese researches is to determine if listing on a more important stock market creates value by lowering the expected return of equity. Here, we are interested in the exchange listing of stocks from the Second Marché (hereafter SM market) or the Marché au Comptant (MC market) towards the Marché à Règlement Mensuel {RM market) in France. The previous studies underline a positive response of the market prices before listing. However, listing on a more active market results in price variations that are not yet totally explained.