The absence of liquidity in the stock market causes uneasiness in the market. Proper trading strategies are devised when liquidity is present making the magnitude of returns determinable. The study investigated stock market liquidity levels for the Zimbabwe Stock Exchange during the pre-Covid...

Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, that are, transactions intended to produce idiosyncratic gains based on investors’ beliefs. With futures transactions data, we estimate bet volume as the...

Based on SEC’s Tick Size Pilot Program, we hypothesize and find that the improved liquidity for large orders disproportionately reduces the execution cost of institutional investors and thus increases their ownership of the treated firms with a larger tick size during the pilot program. The...