It is found that insiders are more likely to trade on high volume days, which indicates an effort to hide their trades. Further, insider trading raises the number of days with abnormally high trading volume only slightly, again indicating that insiders are avoiding attracting attention. No...

In this paper we suggest that market makers deduce the extent of the adverse selection problem associated with a stock (and set up the bid-ask spread accordingly) by observing how many financial analysts are following that stock. Market makers do this based on the belief that more financial...

The Daimler foray into the international equity market, beginning with its 1993 cross-listing in the U.S. and peaking with its 1998 merger with Chrysler, provides an uncommon opportunity to explore the interplay between competing approaches countries may take in their treatment of minority...

In this study we show that both the price impact of trades and serial correlation in trade direction are positively and significantly related to the probability of information-based trading (PIN). The positive relation remains significant even after controlling for the effects of stock...

This paper examines price clustering on the Tokyo Stock Exchange. Regardless of tick and lot size, prices ending in zero and five are the most popular. The TSE has no market makers or direct negotiation between traders; therefore, clustering is not explained by collusion or negotiation. Our...

Using the adverse selection component of the spread as a measure of asymmetric information,we investigate how asymmetric information evolves after firms go public. We find that the level of asymmetric information is lower immediately after the initial public offering (IPO) compared with its...

Using data for a sample of Malaysian stocks that are traded in both Malaysia and Singapore, we show that the turnover rate (trading volume relative to shares held) is significantly higher in the foreign market than in the domestic market. We also find that ownership of cross-listed shares by...

We test whether an increase either in informed (hypothesis 1) or in large liquidity trades (hypothesis 2) leads to greater correlation of trading volume across markets. We confirm that both trading volume and positive returns of target companies are abnormally high prior to merger announcements....

Cross-listings of equities internationally are becoming more common. Using data for Europe and North America, previous studies reject the order flow diversion hypothesis, which states that international cross-listings reduce home country trading volume. We test this hypothesis using data for...

We study the effect of the implementation of new Securities Exchange Commission Order Handling Rules--the Limit Order Display Rule, the Quote Rule, and the Actual Size Rule--on NASDAQ's (National Association of Security Dealers Automated Quotation) quoting and trading behavior. We find that the...