We examine the impact of China's 2010 margin trading and short selling pilot programme on stock returns and trading volume. The market reacts negatively to both the programme announcement and implementation, with significantly lower returns and trading volumes in the pilot stocks. The negative...

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in international markets and we show this is distinct from the...

We show, using data for 57 countries over the 1990–2015 period, that investors' risk perceptions are an important determinant of international stock market liquidity. Increased risk perception reduces liquidity around the world, and its impact is not subsumed by other well-documented...

We study marketwide liquidity and trading activity in China. Trading activity increases in up markets more than in down markets, which is consistent with the disposition effect and the large number of unsophisticated retail investors in China. Whereas, on average, liquidity and trading activity...

Time in the market substantially reduces the risk of loss resulting from holding both stocks and bonds. By focusing on a downside VaR risk proxy in 25 emerging and 24 developed markets we show that the downside risk of both stocks and bonds is greatly reduced as the investment horizon is...

This study investigates the relation between managerial foreign experience and corporate risk-taking in China. We find that foreign experienced managers are positively associated with corporate risk-taking and this relationship mainly exists in private firms rather than in state owned...

This paper examines the price response to large block transactions made on the Australian Stock Exchange during the 1999 sample period. We find asymmetry in the price reaction between buyer- and seller-initiated trades with respect to size and resiliency following the trade. We extend previous...

We investigate whether the capital structure of New Zealand firms influences their product-market performance in the period from 1984 to 2008. Our main findings are that the use of leverage by publicly listed New Zealand companies leads to an increase in relative-to-industry sales growth, but a...

Market commentators have suggested that New Zealand's lax private placement and disclosure regulation allows private placement purchasers to immediately sell discounted shares without disclosing these transactions to the market. However, New Zealand firms with the deepest discounts tend to have...