This paper sets out to investigate the effects of disclosure, and other corporate governance mechanisms, on equity liquidity, arguing that those companies adopting poor information transparency and disclosure practices will experience serious information asymmetry. Since poor corporate...

We examine the impact of decimalization on the relative changes in trading costs, informed trading, and speed of information transmissions between Exchange Traded Funds (ETFs) and their corresponding index futures. The quotes of ETFs are decimalized on January 29, 2001, while those of index...

This study investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange‐traded funds and E‐mini index futures. The empirical results reveal that subsequent to penny pricing, there is a significant fall in the mean ex ante arbitrage profit,...

The impact of changes in trading costs, due to decimalization, on informed trading and speed of information transmission between exchange‐traded funds (ETFs) and their corresponding index futures is examined. ETFs began to trade in decimals on January 29, 2001, and index futures continued to...