The intra-day auction launched by the London Stock Exchange (LSE) on 21 March 2016 was designed as a mechanism to boost midday liquidity. During the auction time, Multilateral Trading Facilities (MTFs) as competitors of the LSE, continue their normal trading. We examine the midday liquidity...

This paper examines the impact of naked short selling on equity markets where it is restricted to securities on an approved list. Consistent with Miller's (1977) intuition, stocks with the highest dispersion of opinions and short sale constraints are the only stocks to exhibit significant and...

This study investigates the impact of introducing a pure pro-rata algorithm on the liquidity of the market for Euribor futures contracts on NYSE LIFFE. Results indicate that the Euribor market experiences deterioration in liquidity: (1) both best and total depth fall and (2) quoted spreads widen...

In 2008 The Hong Kong stock exchange introduced a closing call auction, which was subsequently removed in March 2009 after instances of market manipulation1. This paper examines the impact of the introduction and suspension of the closing call auction on market quality. Our empirical analysis...