We examine the rise of odd-lot trading activity and nominal stock prices in recent years. We find that odd-lot trading activity is positively associated with nominal stock price, for both time-series and cross-sectional variation. After stock splits (reverse split), the odd-lot trading activity...

We examine the relation between herding of mutual funds and dispersion of analysts' earnings forecasts to ascertain whether it is the lack of information or the arrival of correlated information that induces herding. Results show that the level of herding in individual stocks is positively...

We investigate the role of limit orders in the liquidity provision in the Hong Kong stock market, which is based on a computerized limit-order trading system. Consistent with Handa and Schwartz (1996), results show that market depth rises subsequent to an increase in transitory volatility, and...

This paper examines the roles of the number of trades, trade size, and order imbalance (buyer- versus seller- initiated trades) in explaining the volatility-volume relation for a sample of NYSE and NASDAQ stocks. Contrary to some previous studies, our results reconfirm the significance of trade...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

We examine the portfolio rebalancing, measured by the equity churn rate, of mutual funds from 29 countries based on annual stockholdings over the 1999-2004 period. Our results show that the funds trade more often the stocks of companies located in countries that are less developed, have weaker...

We examine the portfolio turnover of mutual funds from 29 countries across the world and for the period 1999 to 2004. Our results indicate that turnover in foreign securities is higher in the countries that are less developed, have less investor protection, have lower information disclosure...

This study analyzes the detailed equity holdings of over 20,000 mutual funds from 26 developed and developing countries. Of particular interest is that we examine how this huge number of funds allocates their investment between domestic and foreign equity markets and what factors determine the...

The August 1998 Hong Kong government intervention in the stock market offers a natural experiment for studying the relation between a free float and market liquidity, where a free float is the portion of listed share capital that is freely traded on the market. Our findings show that, relative...

We investigate the role of limit orders in the liquidity provision in the Hong Kong stock market, which is based on a computerized limit-order trading system. Consistent with Handa and Schwartz (1996), results show that market depth rises subsequent to an increase in transitory volatility, and...