Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...

This paper considers the growth of dark pools: trading venues for equities without pre-trade transparency. It first documents the emergence and expansion of dark pools in European equity markets in the context of regulatory changes and increased high-frequency trading (HFT). It finds that the...

This paper studies the impact of contracted market makers by investigating the liquidity provider scheme in Sweden. The results show that the stocks become more liquid after the introduction of the contracted market makers. The liquidity improvement is explained by reduced order processing cost...

This paper considers the growth of dark pools: trading venues for equities without pre-trade transparency. It first documents the emergence and expansion of dark pools in European equity markets in the context of regulatory changes and increased high-frequency trading (HFT). It finds that the...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

We analyze stock price reactions to the announcements of monetary and fiscal policy actions in twelve stock exchanges worldwide. While previous studies analyzed the effect of policy interventions focusing on monetary policy (e.g. Ricci, 2015) or concentrated on a specific type of companies (e.g....

The aftermarket performance of eleven privatization Initial Public Offers (IPOs) in Chile during 1984-1989 is studied in this document, and a detailed description of the economic and political conditions that prevailed is provided. In particular, we discuss the operational details of the stock...

This paper examines whether larger tick sizes improve or hinder price efficiency using data from implementing and terminating the Tick Size Pilot Program (TSP). We show that the TSP led to increases in various liquidity measures, and its termination restored them to their pre-TSP levels. We also...

This paper addresses challenges relating to applying data mining techniques to detect stock price manipulations and extends previous results by incorporating the analysis of intraday trade prices in addition to closing prices for the investigation of trade-based manipulations. In particular,...

We investigate credit default swap (CDS) and stock price reactions to a variety of credit events, including news of economic distress, financial distress, M&A, SEC probe or accounting irregularities, and leverage buyout (LBO). The CDS spread shows a large spike of 37% to 96% depending on the...