Stock Exchange Disclosure and Market Liquidity: An Analysis of 50 International Exchanges

51 Pages Posted: 6 Feb 2003

See all articles by Carol Ann Frost

Carol Ann Frost

University of North Texas

Elizabeth A. Gordon

Temple University - Department of Accounting

Andrew F. Hayes

Ohio State University (OSU) - School of Journalism and Communication

Date Written: October 14, 2002

Abstract

This study examines associations between measures of stock exchange disclosure and market liquidity at the 50 member stock exchanges of the World Federation of Exchanges. We focus on stock exchange disclosure systems (rather than actual company disclosures) because this approach links stock exchange and government policy with desired outcomes related to market quality factors, such as liquidity. We find strong support for the hypothesis that strength of disclosure system (disclosure rules, monitoring and enforcement, and information dissemination) is positively associated with market liquidity, after controlling for stock exchange size, legal system and several other proxies for extent of market development and the information environment.

Keywords: accounting, disclosure, international finance, regulation, corporate governance, liquidity, international

JEL Classification: K22, G30, F30, F20, D82, M41, M45

Suggested Citation

Frost, Carol Ann and Gordon, Elizabeth A. and Hayes, Andrew F., Stock Exchange Disclosure and Market Liquidity: An Analysis of 50 International Exchanges (October 14, 2002). Available at SSRN: https://ssrn.com/abstract=355361 or http://dx.doi.org/10.2139/ssrn.355361

Carol Ann Frost (Contact Author)

University of North Texas ( email )

1155 Union Circle #305340
Denton, TX 76203
United States
(940) 565- 3069 (Phone)
(940) 565-3803 (Fax)

Elizabeth A. Gordon

Temple University - Department of Accounting ( email )

Philadelphia, PA 19122
United States
2152046422 (Phone)

Andrew F. Hayes

Ohio State University (OSU) - School of Journalism and Communication ( email )

3016 Derby Hall
154 N. Oval Mall
Columbus, OH 43210
United States
614-688-3027 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
1,886
Abstract Views
6,008
rank
7,915
PlumX Metrics