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Article: Exchange trading rules and stock market liquidity

TitleExchange trading rules and stock market liquidity
Authors
KeywordsBroker-agency conflict
Insider trading
Law and finance
Liquidity
Market manipulation
Issue Date2011
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec
Citation
Journal of Financial Economics, 2011, v. 99 n. 3, p. 651-671 How to Cite?
AbstractWe examine stock exchange trading rules for market manipulation, insider trading, and broker-agency conflict, across countries and over time, in 42 stock exchanges around the world. Some stock exchanges have extremely detailed rules that explicitly prohibit specific manipulative practices, but others use less precise and broadly framed rules. We create new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions in the trading rules of each stock exchange. We show that differences in exchange trading rules, over time and across markets, significantly affect liquidity. © 2010 Elsevier B.V.
Persistent Identifierhttp://hdl.handle.net/10722/164726
ISSN
2015 Impact Factor: 3.541
2015 SCImago Journal Rankings: 9.920
SSRN
References

 

DC FieldValueLanguage
dc.contributor.authorCumming, Den_HK
dc.contributor.authorJohan, Sen_HK
dc.contributor.authorLi, Den_HK
dc.date.accessioned2012-09-20T08:08:43Z-
dc.date.available2012-09-20T08:08:43Z-
dc.date.issued2011en_HK
dc.identifier.citationJournal of Financial Economics, 2011, v. 99 n. 3, p. 651-671en_HK
dc.identifier.issn0304-405Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/164726-
dc.description.abstractWe examine stock exchange trading rules for market manipulation, insider trading, and broker-agency conflict, across countries and over time, in 42 stock exchanges around the world. Some stock exchanges have extremely detailed rules that explicitly prohibit specific manipulative practices, but others use less precise and broadly framed rules. We create new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions in the trading rules of each stock exchange. We show that differences in exchange trading rules, over time and across markets, significantly affect liquidity. © 2010 Elsevier B.V.en_HK
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfecen_HK
dc.relation.ispartofJournal of Financial Economicsen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in <Journal of Financial Economics>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 99, ISSUE 3, (2011)] DOI 10.1016/j.jfineco.2010.10.001-
dc.subjectBroker-agency conflicten_HK
dc.subjectInsider tradingen_HK
dc.subjectLaw and financeen_HK
dc.subjectLiquidityen_HK
dc.subjectMarket manipulationen_HK
dc.titleExchange trading rules and stock market liquidityen_HK
dc.typeArticleen_HK
dc.identifier.emailCumming, D: douglas.cumming@gmail.comen_HK
dc.identifier.emailLi, D: lidan@hku.hk-
dc.identifier.authorityLi, D=rp01550en_HK
dc.description.naturepreprint-
dc.identifier.doi10.1016/j.jfineco.2010.10.001en_HK
dc.identifier.scopuseid_2-s2.0-78951489037en_HK
dc.identifier.hkuros208651en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-78951489037&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume99en_HK
dc.identifier.issue3en_HK
dc.identifier.spage651en_HK
dc.identifier.epage671en_HK
dc.publisher.placeNetherlandsen_HK
dc.identifier.ssrn1504017-
dc.identifier.scopusauthoridLi, D=36606414100en_HK
dc.identifier.scopusauthoridJohan, S=16301567900en_HK
dc.identifier.scopusauthoridCumming, D=54790580000en_HK
dc.identifier.citeulike8018376-

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