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

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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. Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity. Journal of Banking and Finance, Available online 23 December 2019 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


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