Exchange trading rules and stock market liquidity

被引：162
|
作者：
Cumming, Douglas [1 ]
Johan, Sofia [1 ,2 ]
Li, Dan [1 ]
机构：
[1] York Univ, Schulich Sch Business, Toronto, ON M3J 1P3, Canada
[2] Tilburg Univ, TILEC, NL-5000 LE Tilburg, Netherlands
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2011年 / 99卷 / 03期
关键词：
Market manipulation; Liquidity; Insider trading; Broker-agency conflict; Law and finance; SELF-REGULATION; MANIPULATION; PRICE; LAW;
D O I：
10.1016/j.jfineco.2010.10.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
引用
收藏
页码：651 / 671
页数：21
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