This paper examines the short-run weak-form efficiency of equities, using a proprietary data set permitting analysis of orderbook characteristics to measure short-term price predictability. The results show that high levels of algorithmic trader activity in a stock lowers the level of short-run...

We showhowtrading protocols impede the price discovery process in single stock futures as implicit trade costs outweigh explicit costs. Despite the trade volume dominance, trade and leverage cost efficiency, the futures market accounts for only 35% of the price discovery vis-à-vis the spot...

This paper tests for the existence of the magnet effect linked to price limits imposed in China's equity markets and how a market liberalization event affects trading in securities bound by price limits. The magnet effect of price limits theorises that, instead of stabilising markets, price...

The impact of derivatives is almost invariably measured by the liquidity outcomes on the underlying. We explore the relationship between efficiency, fairness and derivatives with respect to the underlying. We provide evidence that the presence of a derivative improves liquidity in the underlying...

Purpose – Opposition to transnational calls for the adoption of accrual-based accounting in the public sector may stem from arguments that it is associated with poor earnings quality. The purpose of this paper is to determine whether state owned enterprises (SOEs) operating under accrual-based...