This paper examines the relation between pre-trade transparency and market quality in the Tokyo Stock Exchange (TSE). Mixed evidence related to this relation has been reported worldwide. We analyze this relation using evidence from a change in the TSE disclosure policy in the 2000s. We find a...

This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...

This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...

Following other leading international securities markets, the Tokyo stock exchange [TSE] has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality affected? Accounting for fixed effects and endogeneity, we find increased volatility and higher order book...

This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for liquidity. For a given stock, dark...

In September 2008, during one of the most intense periods of the financial crisis, the Financial Services Authority (FSA) decided to ban short-selling in financial stocks during four months in the U.K. market. The aim of the ban was to guard against instability and calm the market. This paper...

With unique daily short sale data of Borsa Istanbul (stock exchange of Turkey), we investigate the dynamic relationship between short selling activity, volatil- ity, liquidity and market returns from January 2005 to December 2012 using a VAR(p)-cDCC-FIEGARCH(1,d,1) approach. Our findings suggest...

We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with...

This paper studies the importance of different pieces of limit order book information in characterizing order aggressiveness and the timing of trades, order submissions and cancellations. Using limit order book information on a representative sample of Spanish stocks, we evidence that most of...

Since the demise of apartheid in South Africa, corporations have been encouraged to participate in the governmental goal of increasing corporate ownership by the black majority population. One vehicle that has arisen to help facilitate an increase in corporate ownership has been black economic...