This paper addresses the information asymmetry between Chinese local A-share and foreign B-share markets and its impact on the B-share discount puzzle, contingent upon the regulatory reforms of the Chinese stock market liberalization in 2001 and 2002. In contrast with the widespread belief that...

We study a special form of securities market circuit breaker, i.e., European volatility interruptions. Instead of halt trading like traditional circuit breaker, these short-living call auctions allow for continual price discovery after price limit hits. Based upon approximately 1,800 Xetra...

This study attempts to explore the impact of share repurchase transactions on stock returns in Turkey as one of the emerging markets severely hit by COVID-19. Event study analyses reveal that market reaction to repurchase activity in the aftermath of the pandemic declaration of March 11, 2020...

Using the WHO announcement on March 11, 2020 and the Federal Reserve Bank announcement on April 9, 2020 as two events that represent the shock and the stimulus, this study finds that COVID-19 caused a negative shock to the global stock markets, especially in emerging markets and for small firms....

This study investigates the magnet effect after relaxing the daily price limits in the Taiwan Stock Exchange by using a logit model, as proposed by Hsieh, Kim, and Yang (2009). Our empirical results indicate that the magnet effect disappears after the relaxed daily price limits, especially in...

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity around volatility interruptions implemented on the...

We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse and research whether a volume migration and an...

This paper examines the magnet effect of market-wide circuit breaker by investigating the circuit breaker triggering event in the Chinese stock market in 2016. We propose a difference-in-differences AR(3)-GARCH (1,1) model to separate the magnet effect from the effect of investors' overreaction....

This paper studies the effect of board reforms on stock liquidity using data from 37 countries. We document that board reforms significantly increase stock liquidity—effective spread on average decreases by 12.7% after a board reform. As information asymmetry is a key determinant of stock...