Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15‐minute intervals. Within‐country and cross‐border liquidity commonalities are found to be significant and, after...

Using a unique dataset from the Shanghai Stock Exchange, we study the relation between daily open-to-close stock returns and order imbalances, and the commonality in order imbalances across individual, institutional, and proprietary investors. We find that institutional (proprietary) order...

The yen provided foreign exchange market participants with 'once-in-a-generation' volatility movements in 1998. For instance, after many months of uneven yen depreciation a remarkable period of yen appreciation was experienced where, in one two-day period, the U.S. dollar dropped in value by 20...

We analyze a hand-collected sample of 166 prominent bribery cases, involving 107 publicly listed firms from 20 stock markets that have been reported to have bribed government officials in 52 countries worldwide during 1971-2007. We focus on the initial date of award of the contract for which the...

Many studies show that the use of technical analysis can generate excess returns. We test the "CRISMA" technical trading rule introduced by [Pruitt and White J. Portfolio Managt. Spring, 1988, 55--58] on global equity indices and common stocks in Hong Kong. Out study shows that no excess returns...