This paper examines the relation between pre-trade transparency and market quality in the Tokyo Stock Exchange (TSE). Mixed evidence related to this relation has been reported worldwide. We analyze this relation using evidence from a change in the TSE disclosure policy in the 2000s. We find a...

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...

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...

The Aix-Marseille School of Economics (AMSE) and the Banque de France have organised their second labour market conference, bringing together academics and representatives of international organisations and central banks. Discussions focused on the linkages between the housing and labour...

We study the effects of the introduction of a closing auction (CA) on the microstructure on the continuous trading phase in Borsa Italiana and Paris Bourse. We postulate and compare several empirical predictions based on both standard Kyle-type models and more recent models of limit order book....

This paper examines the impact of increased transparency on market quality for stocks listed on the Taiwan Stock Exchange in the pre- and post-period of enhanced transparency starting from January 1, 2003. The Taiwan Stock Exchange discloses unexecuted orders of the five best bid and ask prices...

The Aix-Marseille School of Economics (AMSE) and the Banque de France have organised their second labour market conference, bringing together academics and representatives of international organisations and central banks. Discussions focused on the linkages between the housing and labour...

This study investigates the determinants of liquidity and execution probability in an exchange operated dark pool. We analyse a unique set of data collated from the Australian Securities Exchange (ASX) that allows the identification of trades and orders in its Centre Point dark pool. This study...

Following other leading international securities markets, the Tokyo stock exchange [TSE] has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality affected? Accounting for fixed effects and endogeneity, we find increased volatility and higher order book...

Following other leading international securities markets, the Tokyo Stock Exchange (TSE) has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality affected? Accounting for fixed effects and endogeneity, we find increased volatility and higher order book...