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Exchange trading rules and stock market liquidity

  • Cumming, Douglas
  • Johan, Sofia
  • Li, Dan

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-405X(10)00237-0
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 99 (2011)
Issue (Month): 3 (March)
Pages: 651-671

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Handle: RePEc:eee:jfinec:v:99:y:2011:i:3:p:651-671
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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