Previously unknown basic statistics are obtained about the operations of the London Stock Exchange (LSE) in early Victorian times. Integration of data from the Bank of England Archive with price reports, press coverage, and other sources produces estimates for volume of transactions,...

Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity,...

This paper tried to analyze the performance of the investment companies listed in Tehran Stock Exchange that had active portfolio management from 2006 to 2010 by Sharp, Treynor, and Sortino ratios. For more profound study of their performances, this research used some of the measures, including...

This paper describes the changes in ownership and internationalization of the brokerage firms in Colombia as a result of the regional integration process of its stock exchange market through the Latin American Integrated Market (MILA). It proposes that the integration of stock exchanges...

We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Contrary to current valuation practice, FVAs are not themselves components of the market...

We consider a model in which dealers intermediate trades between clients and provide immediacy, or, market liquidity. Dealers can exert unobservable effort to improve the chance of intermediating profitably. This moral-hazard friction impairs dealers' ability to raise external finance and hence...

Using granular data on the entire Brazilian securities lending market merged with all trades in the centralized stock exchange, we identify information leakage from short sellers. Our identification strategy explores trading execution mismatches between short sellers' selling activity in the...

A firm’s cost of capital should be determined by its exposures in respect of systematic risk, indicated by beta means how changes in systematic risk affect firm cost of capital and its determinants like cost of equity, cost of debt ,debt and equity financing mix. The most difficult component...

This paper analyses the Shanghai Stock Exchange (SSE) co-movement behaviour from January 2001 till December 2011. The study used 699 listed companies from the SSE and compares its co-movement behaviour during and after the global financial crisis. It is found that stocks in the SSE were highly...

This study examines the stock price reaction to the information content of bonus issue with the view of the Srilankan Stock Exchange is semi-strong efficient or not. The period of the study is January 2003 to April 2007. Sample of 67 bonus issues made by both financial and non-financial sector...