This paper provides several statistics concerning cancellation latency that would be helpful to regulators as they consider policies to establish a minimal quote life. We find that cancellation latency is related to market quality and is not constant. Rather, it varies depending upon the time of...

The first modern futures market is said to date back to the Chicago Board of Trade established in 1848. However, there existed an older precedent; the Dojima Rice Market established in 1730 in Osaka. The past literature on Dojima has made it clear that Dojima had well-established trading...

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data...

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data...

In order to study the volatility spillovers / the transfer of volatilities from spot and futures markets for the period 1st January 2001 to 30th November 2005 with high frequency data i.e., one minute intervals, we have used GARCH models to compute volatilities and VAR models for the returns of...

A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months...

A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months...

Earnings management at the time of the IPO is an important issue and has captured considerable attention of academic literatures. However, there have been few studies testing earnings management in the context of market condition, and when financial intermediaries such as venture capital (VC)...

The temporal relation between stock index and Index futures has been and continues to be of interest of regulators, academicians and practitioners alike for a number of reasons such as market efficiency volatility and arbitrage. In perfectly efficient markets profitable arbitrage should not...

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data...