This study examines the S&P/ASX 200 index rebalance effects and the contributing factors from 2011 to 2016. We find the announcement and revision effects for both additions to and deletions from the S&P/ASX 200 index in terms of price, volume, and volatility effects. Also, the index rebalance...

This study is the first to examine China’s crude oil options market. Using high-frequency data and three different price discovery measures, we conduct a rigorous analysis and find that after its first 8 months of operation, China’s crude oil options market has already played an important...

This study is the first to examine China’s crude oil options market. Using high-frequency data and three different price discovery measures, we conduct a rigorous analysis and find that after its first 8 months of operation, China’s crude oil options market has already played an important...

This study investigates the impact of dark equity trading regulatory restrictions on the options market liquidity in Canada. In late 2012, the Canadian market regulator introduced a new dark trading regulation, referred to as the “Minimum Price Improvement” (“MPI”). It requires dark...

This study investigates whether broker anonymity impairs the ability of the market to detect informed trading in the lead up to takeover announcements. Our research represents the first study in this area to analyse the effects of broker anonymity in the context of significant information...

This paper examines the impact of naked short selling on equity markets where it is restricted to securities on an approved list. Consistent with Miller's (1977) intuition, stocks with the highest dispersion of opinions and short sale constraints are the only stocks to exhibit significant and...