TY - JOUR
T1 - Exchange trading rules and stock market liquidity
AU - Cumming, Douglas
AU - Johan, Sofia
AU - Li, Dan
PY - 2011
Y1 - 2011
N2 - 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.
AB - 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.
U2 - 10.1016/j.jfineco.2010.10.001
DO - 10.1016/j.jfineco.2010.10.001
M3 - Article
SN - 0304-405X
VL - 99
SP - 651
EP - 671
JO - Journal of Financial Economics
JF - Journal of Financial Economics
IS - 3
ER -