From 1992 to 2011, average R2 increased from 0.17 to 0.47. During this period, passive financial institutions also grew their ownership from 30 to 50% of the market. Passive investors do not perform fundamental research nor trade around firm-specific news, thus reducing the firm-specific...

The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...

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...

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...

This study examines whether the Indian stock market is efficient in semi-strong form and seasonality exists. For this purpose, we take the first and fourth quarters‟ results of companies for the years 2008 to 2011. We divide companies into good news and bad news portfolios on the basis of...

This paper investigates the relationship between cross-listing on the US and UK regulated and unregulated exchanges and trading volume, for a sample of 500 foreign firms from 34 countries. Evidence shows that trading volume increase is a function of both reducing segmentation and signaling...

To reduce extraordinary price movement and to ensure more effective price formation at closing time, Borsa Istanbul implemented closing call auction sessions on March 2, 2012. This study tests the effect of closing call auction sessions on closing price manipulation in Borsa Istanbul using 102...

We examine the effect of mandatory environmental, social and governance (ESG) disclosure on firms’ price discovery efficiency around the world. Using data from 40 countries between 2000 and 2019 and a difference-in-difference method, we find that ESG mandatory disclosure increases firm-level...

This study examines whether conference calls provide additional information to analysts. For a large sample of conference calls, hosted by German firms between 2004 and 2007, our results show that conference calls improve analysts' ability to forecast future earnings accurately. This suggests...

This paper provides the first study of foreign investors' trading in a sizeable European emerging stock market, using a combination of daily and monthly complete data collected at the destination. It also introduces the structural conditional correlation (SCC) methodology to identify the...