This paper examines the contribution of local floor traders to price discovery on the Sydney Futures Exchange using the methods of error-correction and common-long-memory components. Four financial instruments (i.e., three-year bonds, ten-year bonds, ninety-day bankers accepted bills, and the...

Using a sample of 27 stocks from the Dow Jones Industrial Average for the years 1986-1992, we examine the equality of beta for individual firms during the trading day. Both alphas and betas are found to differ through the trading day. Evidence suggests these changes are systematic for individual...

We study NYSE, NASDAQ, and ARCA prices for DJIA stocks and LSE, Xetra, and Chi-X prices for five leading British equities. MiFID1 hastened fragmentation but accomplished the intended cointegration of European equity markets that had previously been segmented. Initially, price discovery in London...

U.S. exchanges, with the exception of the NYSE, report trades based on the size of resting order in the limit order book. Using ITCH data time stamped to the nanosecond, we show that this reporting convention often results in arriving marketable orders being reported as multiple trades of...

TThe 2015 bankruptcy of Doral Financial Corporation, once “the best” U.S. bank according to U.S. Banker, is the largest since April 2010. The bankruptcy concludes years of management manipulation and efforts to recover. SEC investigation revealed fraud related to Doral's valuation of...

We investigate CEOs who combine insider selling with stock splits, which is suspicious because dumping stocks is inconsistent with the positive stock-split signal. Our empirical results indicate that, compared with other splits, these suspicious splits are followed by a 53 percent lower...

In 2010, the Tokyo Stock Exchange, the largest stock exchange headquartered outside of the United States, introduced a new trading platform, Arrowhead. This platform was designed to reduce latency and increase co-located, high-frequency quoting and trading (HFQ) from zero to 36% of trading...

Naked short selling and purposeful fails-to-deliver have been identified in the popular press and by the SEC as contributing factors to the stock market decline in 2008. We investigate the market impact of the announcement that fails-to-deliver have occurred for a sample of real estate...

We analyse the price discovery process in DJIA stocks before and after the full implementation of Reg NMS in October 2007. The execution channels analysed are NYSE-ARCA, the traditional NYSE system, and NASDAQ. By comparing the changes in Hasbrouck's information share to changes in the...

In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce long-term interest rates. We investigate the behavior of shorts, considered sophisticated investors, before and after a...