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Exchange trading rules and stock market liquidity |
| CMCRC Student: |
Dan Li |
| Research partner: |
IRROC |
| Name of Paper: |
Exchange trading rules and stock market liquidity |
| Written by: |
Doug Cumming, Sofia Johan, Dan Li |
| Date: |
1 February 2010 |
Abstract
In this article, 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.
 ETR_01Feb2010.pdf (PDF)
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