Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity

Aghanya, Daniel; Agarwal, Vineet; Poshakwale, Sunil S.

dc.contributor.author	Aghanya, Daniel
dc.contributor.author	Agarwal, Vineet
dc.contributor.author	Poshakwale, Sunil S.
dc.date.accessioned	2020-01-09T12:51:50Z
dc.date.available	2020-01-09T12:51:50Z
dc.date.issued	2019-12-23
dc.identifier.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	en_UK
dc.identifier.issn	0378-4266
dc.identifier.uri	https://doi.org/10.1016/j.jbankfin.2019.105730
dc.identifier.uri	http://dspace.lib.cranfield.ac.uk/handle/1826/14900
dc.description.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.	en_UK
dc.language.iso	en	en_UK
dc.publisher	Elsevier	en_UK
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 International	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.subject	Capital markets	en_UK
dc.subject	Disclosure regulation	en_UK
dc.subject	Transaction costs	en_UK
dc.subject	Bid-ask spread	en_UK
dc.subject	Propensity score matching	en_UK
dc.title	Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity	en_UK
dc.type	Article	en_UK
dc.identifier.cris	25721890