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

Sofia Johan

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

Dan Li

The University of Hong Kong - School of Economics and Finance

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://booksite.elsevier.com/9780124095373/

Sofia A. Johan

Florida Atlantic University - Finance ( email )

777 Glades Rd
Boca Raton, FL 33431
United States

Tilburg Law and Economics Center (TILEC) ( email )

Warandelaan 2
Tilburg, 5000 LE
Netherlands

Dan Li

The University of Hong Kong - School of Economics and Finance ( email )

Shenzhen
China

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