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

Daniel Aghanya, Vineet Agarwal, Sunil Poshakwale

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)
43 Downloads (Pure)

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.
Original languageEnglish
Article number105730
Number of pages52
JournalJournal of Banking and Finance
Volume113
Early online date23 Dec 2019
DOIs
Publication statusPublished - Apr 2020

Bibliographical note

NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 2020, (2017)
DOI: 10.1016/j.jbankfin.2019.105730

© 2019, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

  • Capital markets
  • disclosure regulation
  • transaction costs
  • bid-ask spread
  • propensity score matching.
  • Propensity score matching
  • Disclosure regulation
  • Bid-ask spread
  • Transaction costs

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Economics and Econometrics
  • Finance

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