Volatility extensions in closing auctions are designed to improve the efficiency of the closing price. We hypothesize that the channel for the efficiency increase is that extensions improve market integrity and investor trust in the auction mechanism. We confirm that the introduction of a...

In this paper we analyze the link between stock market performance and macroeconomic performance for a large number of countries. We study the short-run and long-run relationships and find that stock market returns do not coherently predict future macroeconomic changes for the majority of...

Fast trading and fragmentation of volume make equity markets complex, leading retail and institutional investors to demand sophisticated brokerage services. In a sample of stock transactions in Swedish large-cap firms, we find that brokers who show high trading sophistication when trading their...

Motivated by the pioneering study of Morck, Yeung, and Yu (2000), this paper investigates whether and how news commonality varies according to a country's institutional environments. Using a unique global news data set across 41 countries for the 2000-2009 period, we document three notable...

We examine the effects of mandatory ESG disclosure around the world using a novel dataset. Mandatory ESG disclosure increases the availability and quality of ESG reporting, especially among firms with low ESG performance. Mandatory ESG reporting has in turn beneficial effects on firm’s...

On testing the impact of stock market liberalization on weak form market efficiency in emerging market countries, previous studies often provide divergent results. This paper revisits this empirical literature by using a time-varying parameter model which enables us to handle the gradual effects...

This paper argues that securities transaction taxes throw sand not in the wheels, but into the engine of financial markets where the transformation of latent demands into realized transactions takes place. The paper considers the impact of transaction taxes on financial markets in the context of...

This paper offers a new framework for the assessment of financial market liquidity and identifies two types: search liquidity and systemic liquidity. Search liquidity, i.e. liquidity in normal times, is driven by search costs required for a trader to find a willing buyer for an asset he/she is...

This paper re-examines the extent, if any, of the negative impacts of price limits. We provide fresh evidence supporting, only partially, the criticisms against the efficacy of such price limits: that price limits cause a spillover of volatility, delay the process of price discovery, and...

This study examines and compares stock returns and volatilities between state-owned and non-stateowned firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis...