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

Daniel Aghanya, Vineet Agarwal, Sunil Poshakwale

Research output: Contribution to journalArticle

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

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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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