We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications and control variables. This finding...

There has been very limited evidence about the impact of index derivatives on the informativeness of the underlying stocks' prices, despite its empirical nature. We explore this issue in this study, employing the introduction of the S&P 100 options. We find that, net of the market, the...

When stocks are added to (deleted from) an index, more (less) information should be generated and incorporated into their prices, leading to higher (lower) pricing efficiency and lower (higher) return predictability for them. We test this hypothesis for the first time using membership changes in...

Theories predict that launching index futures could affect the price informativeness for the underlying stocks. We test this hypothesis by taking advantage of the introduction of the Nikkei 225 futures contracts in Singapore on September 3, 1986. Employing two alternative statistical methods...

Existing theories predict lower trading volume, but ambiguous changes in price, bid-ask spread, and volatility for the underlying stocks following the advent of index derivatives. We further test these predictions around the introduction of the Samp;P 100 options in March 1983. Controlling for...

International cross-listing should subject stocks involved to ameliorated information environment in the host market, resulting in more information being revealed, fed back, and impounded into their prices at home and, thus, higher home-market pricing efficiency. Employing a simple nonparametric...

By incorporating new information generated by currency derivatives trading, underlying exchange rates should be less forecastable than previously and the underlying currency markets should, therefore, be more efficient. This hypothesis was tested, for the first time, for the period 1982 through...

This study explores the impacts on small securities firms' performance of the multi-stage commission deregulation in Japan from 1994 to 1999. Different from previous findings, market volume does not rise while commission rates fall following each phase of the deregulation. Therefore, securities...

This study investigates the Nikkei 225 rebalancing. Unlike those for changes in the Samp;P 500, the price effects are permanent for both additions and deletions despite significant price reversals around both the announcement and effective days. The permanent price effects are shown to be...

This study investigates for the first time the effects of involuntary foreign delistings from the U.S. stock exchanges. Upon announcement of delisting, prices drop a significant 4.5% permanently. The price effects do not seem to differ significantly by various measures of differential market...