Exchange trading rules and stock market liquidity

• 成果类型: Article
• 署名作者: Cumming, Douglas; Johan, Sofia; Li, Dan
• 署名单位: York University - Canada; Tilburg University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.10.001
• 发表日期: 2011
• 页码: 651-671
• 关键词: MARKET MANIPULATION; liquidity; Insider trading; Broker-agency conflict; law and finance

摘要

We 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. (C) 2010 Elsevier B.V. All rights reserved.