Exchange Trading Rules and Stock Market Liquidity

41 Pages Posted: 16 Jan 2009 Last revised: 22 Nov 2014

See all articles by Douglas J. Cumming

Douglas J. Cumming

Florida Atlantic University; Birmingham Business School; European Corporate Governance Institute (ECGI)

Sofia Johan

Florida Atlantic University - Finance; University of Aberdeen; Tilburg Law and Economics Center (TILEC)

Dan Li

Chinese University of Hong Kong, Shenzhen

Date Written: January 1, 2009

Abstract

This paper examines stock exchange trading rules for market manipulation, insider trading and broker agency conduct across countries and over time for 42 stock exchanges around the world. Some stock exchanges have extremely detailed rules which explicitly prohibit specific manipulative practices, while others use less precise and broadly framed rules. We create new indices for market manipulation, insider trading and broker-agency conduct based on the specific provisions in the exchange trading rules of each stock exchange. We show differences in exchange trading rules over time and across markets significantly affect trading activity.

Keywords: Market Manipulation, Insider Trading, Broker Agency Conduct, Law and Finance

JEL Classification: G12, G14, G18, K22

Suggested Citation

Cumming, Douglas J. and Johan, Sofia A. and Li, Dan, Exchange Trading Rules and Stock Market Liquidity (January 1, 2009). Journal of Financial Economics (JFE), Vol. 99, No. 3, 2011, Available at SSRN: https://ssrn.com/abstract=1328553 or http://dx.doi.org/10.2139/ssrn.1328553

Douglas J. Cumming (Contact Author)

Florida Atlantic University ( email )

777 Glades Rd
Boca Raton, FL 33431
United States

HOME PAGE: http://sites.google.com/view/douglascumming/bio?authuser=0

Birmingham Business School ( email )

Edgbaston Park Road
Birmingham, B15 2TY
United Kingdom

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

HOME PAGE: http://https://ecgi.global/users/douglas-cumming

Sofia A. Johan

Florida Atlantic University - Finance ( email )

777 Glades Rd
Boca Raton, FL 33431
United States

HOME PAGE: http://sites.google.com/view/sofiajohan

University of Aberdeen ( email )

Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom

Tilburg Law and Economics Center (TILEC) ( email )

Warandelaan 2
Tilburg, 5000 LE
Netherlands

Dan Li

Chinese University of Hong Kong, Shenzhen ( email )

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