We investigate the effect of price limits on intra-day volatility and information asymmetry using transactions data from the Taiwan Stock Exchange. Proponents of price limits argue that they provide an opportunity for investors to reevaluate market information and make more rational trading...

We investigate the magnet effect of price limits using transaction data from the Taiwan Stock Exchange. A logit model incorporates explanatory variables from microstructure literature and reveals that the conditional probability of a price increase (decrease) increases significantly when the...

This paper analyses the intraday reaction of the Spanish market to annual earnings announcements. Specifically, we examine the levels of stock liquidity, trading activity, volatility, and asymmetric information, as well as the order placement strategy around earnings disclosures. We also analyse...

In this study we analyse the effect of stock splits on stocks¿ trading activity using intraday data from a sample of 46 stock splits from the Spanish stock market. In particular, we study changes to trading activity, trading composition, the information asymmetry of stocks, the distribution of...

This paper examines the reaction of the Spanish continuous market to the announcement of securitisation operations by listed banks in the period 1993-2003. Results indicate the existence of positive and significant abnormal returns on the day immediately following the announcement date. The...

We analyse the effect of splits on stock liquidity. The results show a drop in trading volume and depth and an increase in the relative bid-ask spread. We detect a change in trading composition, with an increase in the smallest transactions, mainly on the buyer side of shares whose prices fall...