Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity
Date
2019-12-23
Supervisor/s
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Department
Type
Article
ISSN
0378-4266
Format
Citation
Aghanya D, Agarwal V, Poshakwale S. (2020) Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity. Journal of Banking and Finance, Volume 113, April 2020, Article number 105730
Abstract
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.
Description
Software Description
Software Language
Github
Keywords
Capital markets, Disclosure regulation, Transaction costs, Bid-ask spread, Propensity score matching
DOI
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International