Exchange trading rules and stock market liquidity |
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| Authors: | Douglas Cumming Sofia Johan Dan Li |
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| Institution: | 1. York University, Schulich School of Business, 4700 Keele Street, Toronto, Ontario, Canada M3J 1P3;2. University of Tilburg, Tilburg Law and Economics Centre (TILEC), Postbus 90153, 5000 LE Tilburg, The Netherlands |
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| Abstract: | 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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| Keywords: | G12 G14 G18 K22 |
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