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

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dc.contributor.authorAghanya, Daniel
dc.contributor.authorAgarwal, Vineet
dc.contributor.authorPoshakwale, Sunil S.
dc.date.accessioned2020-01-09T12:51:50Z
dc.date.available2020-01-09T12:51:50Z
dc.date.issued2019-12-23
dc.description.abstractThe 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.identifier.citationAghanya 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 105730en_UK
dc.identifier.cris25721890
dc.identifier.issn0378-4266
dc.identifier.urihttps://doi.org/10.1016/j.jbankfin.2019.105730
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/14900
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectCapital marketsen_UK
dc.subjectDisclosure regulationen_UK
dc.subjectTransaction costsen_UK
dc.subjectBid-ask spreaden_UK
dc.subjectPropensity score matchingen_UK
dc.titleMarket in Financial Instruments Directive (MiFID), stock price informativeness and liquidityen_UK
dc.typeArticleen_UK

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