This study investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange-traded funds (ETFs) and E-mini index futures. Our empirical results reveal that subsequent to penny pricing, there is a significant fall in the mean ex-ante arbitrage profit,...

This paper sets out to investigate the effects of disclosure, and other corporate governance mechanisms, on equity liquidity, arguing that those companies adopting poor information transparency and disclosure practices will experience serious information asymmetry. Since poor corporate...