This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...

We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications and control variables. This finding...

In this paper, we investigate short sale constraints' impact on the incidence of extreme stock market movements. The latter can be used to proxy for the likelihood of tail events like crashes and bubbles in a market and, thus, is a crucial measure of stock market stability. Since crashes and...

This paper examines how the introduction of the extended opening session of the futures market affects stock price behavior around the market opening. On January 1, 2001, the Taiwan Futures Exchange (TAIFEX) extended the trading hours by opening earlier 15 minutes than the Taiwan Stock Exchange...

This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10-fold, from an average of 30 seconds to 5...

This paper analyzes the impact of pre-trade transparency on price discovery. On January 1, 2003, the Taiwan Stock Exchange discloses unexecuted orders of the best five bid and ask prices to market participants. This rule change provides an opportunity to examine the impact of transparency on...

SEBI, the Indian securities market regulator has set a unique example for the entire world by introducing IPO grading in India 2006 on optional basis and further mandating it from May, 2007. The purpose of this grading was to provide retail investors with a ready-made assessment of the...

This paper examines the impact of increased pre-close transparency on the effectiveness of stock closing call. On January 1, 2003, the Taiwan Stock Exchange increases pre-close transparency by disclosing the best five bid and ask prices and related unexecuted orders before market closing. At the...