Most measures of liquidity assume that the cost of buying and selling is symmetric. This paper analyses liquidity in an open electronic limit order book exchange without market makers, where it is possible to directly measure the impact cost of a market order to buy and to sell. There is clear...

Contrary to the weak role of single stock derivatives found in the price discovery literature, this paper finds that single stock futures (SSF) traded on a liquid exchange have a high average information share of 49 percent, which increases by six percentage points upon information arrival. A...

The timeliness of the credit rating of a firm has been frequently called into question over the previous two decades. This paper examines whether changes in credit ratings can be updated more frequently than at the frequency of updates in the accounting data. The paper finds that, when market...

Regulators worldwide have introduced measures such as a fee on high order-to-trade ratio (OTR) to slow down high frequency trading, which existing research shows as having mixed results about its impact on market quality. We study a natural experiment in the Indian stock market where such a fee...

Option markets have significant variation in liquidity across different option series. Illiquidity reduces the informativeness of the price. Price information for illiquid options is more noisy, and thus the implied volatilities based on these prices are more noisy. In this paper, we propose a...

This paper tests for the profitability of contrarian and momentum trading strategies in the Indian equity markets, in the period 1996-2002, explicitly accounting for transaction costs. Using raw intraday data for order-book from the National Stock Exchange of India Limited, we calculate the...