We examine the relationship between stock liquidity and the difference in domestic and foreign market prices for a sample of 650 international firms cross-listed on a U.S. stock exchange through either an American Depository Receipt (ADR) or an ordinary shares program. We exploit the 2001 change...

I assess the impact of increasing the tick size on stock liquidity and trading volume in illiquid stocks. Using a regression discontinuity design at the Oslo Stock Exchange, I find that increasing the tick size has no impact on the transaction costs, order book depths, or trading volumes of...

The Chicago Mercantile Exchange reduced the size of its S&P 500 futures contract when it reduced the multiplier from 500 to 250 and increased the minimum tick from 0.05 to 0.10 on November 3, 1997. This is a rare major change in a very successful contract's specifications. We analyze effects of...

We document the outcome of an options decimalization pilot on Canada's derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options. In contrast with equity studies,...

This paper examines anonymity effects on liquidity migration of cross-listed stocks using a natural experiment created by the staggered move to anonymity regime undertaken by ASX and NZX. The 2SLS instrumental variable estimation shows two interesting trends. When considering liquidity impact on...