Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity
| Autor: | Vineet Agarwal, Sunil S. Poshakwale, Daniel Aghanya |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
040101 forestry
Transaction cost Economics and Econometrics 050208 finance Capital markets Disclosure regulation Transaction costs Financial instrument 05 social sciences 04 agricultural and veterinary sciences Monetary economics Directive Market liquidity Bid–ask spread Propensity score matching 0502 economics and business Economics 0401 agriculture forestry and fisheries Bid-ask spread Enforcement Capital market Finance Stock (geology) |
| Popis: | The paper examines the impact of MiFID on stock price informativeness and liquidity in 28 EU countries. We find that post-MiFID the stock prices reflect greater firm specific information and the market becomes more liquid. Consistent with the ‘Catch-up Hypothesis’ our evidence shows that the impact of MiFID in terms of price informativeness is greater for countries that have weaker quality of regulation. We find that regulation with enforcement improves market efficiency. Our results are robust with respect to the choice of price informativeness and liquidity proxies as well as the control sample. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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