This paper examines the relationship between the stock price synchronicity and analyst activity in emerging markets. Contrary to conventional wisdom that suggests that security analysts specialize in the production of firm-specific information, we find that the security analysts predominantly...

This paper examines how the information flow and trading activity of the Jardine group of companies are affected after they are delisted from Hong Kong. An interesting aspect is that while the trading activity of the five companies in the Group is moved to Singapore, the core business remains in...

We examine the price behavior and market activity of the Jardine Group companies after they were delisted from Hong Kong in 1994. Although the trading activity of the Jardine Group moved to Singapore, the core businesses remained in Hong Kong and Mainland China. Evidence indicates the Jardine...

This study shows that, to obtain a precise measure of the liquidity premium in the stock market, it is important to recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively correlated with stock illiquidity but negatively priced...

We propose a modified version of the Amihud illiquidity measure, AdjILLIQ, which performs well in different types of emerging markets. Our AdjILLIQ measure combines the virtues of the original Amihud ratio and the non-trading-frequency measure. It exhibits higher correlation with spread and...

Obtaining a unique limit order dataset provided by NYSE, we find there exits significant commonality in the liquidity provided by the NYSE limit order book. We also examine how the commonality documented above can explain the commonality in bid-ask spread, and how this commonality in limit order...