Does tick size influence price discovery? Evidence from the Toronto Stock Exchange

2002 ◽  
Vol 23 (1) ◽  
pp. 49-66 ◽  
Author(s):  
Marie-Claude Beaulieu ◽  
Shafiq K. Ebrahim ◽  
Ieuan G. Morgan
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Tick Size ◽  
Toronto Stock Exchange

Decimalization of Stock Exchanges

2011 ◽  
pp. 165-180
Author(s):  
Bin Chang
Keyword(s):  
New York ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
New York Stock Exchange ◽  
Tick Size ◽  
Toronto Stock Exchange ◽  
Bid Ask Spread ◽  
Limit Orders ◽  
York Stock Exchange ◽  
The Impact

Technological innovation is propelling the move in financial markets away from fractional trading and towards decimal trading, as in the example of The New York Stock Exchange (NYSE) tick size changed from $1/16 to $0.01 on January 29, 2001. This chapter examines the impact of that trend as it relates to market quality and trading behaviour, and draws on comparisons between NYSE and NASDAQ, as well as evidence from other markets and market-traded securities, in demonstrating how decimalization leads to a decrease in the bid-ask spread and depth and an improvement in the probability of information-based trading, while having seemingly no effect on the frequency of limit orders. Our examination also demonstrates how the 1996 decimalization of the Toronto Stock Exchange (TSX, formerly TSE) has had little impact on its giant competitor, NYSE.

Disclosure quantity and the efficiency of price discovery

2016 ◽  
Vol 15 (2) ◽  
pp. 122-143 ◽  
Author(s):  
Dennis Chung ◽  
Karel Hrazdil ◽  
Nattavut Suwanyangyuan
Keyword(s):  
Information Disclosure ◽  
Price Discovery ◽  
Stock Exchange ◽  
Empirical Support ◽  
Return Predictability ◽  
Annual Reports ◽  
Toronto Stock Exchange ◽  
Content Type ◽  
Short Horizon ◽  
Available Information

Purpose The purpose of this paper is to investigate the effect of the information disclosure quantity on the pricing efficiency of stocks. Design/methodology/approach Using a sample of large and actively traded Canadian companies listed on the Toronto Stock Exchange, the authors utilize annual reports filed on system for electronic document analysis and retrieval (SEDAR) between 2003 and 2013 to estimate the amount of publicly available information and find that the length and size of annual reports are important determinants of short-horizon return predictability from historical order flows, which is an inverse indicator of market efficiency. Findings The results show that longer and larger annual reports are associated with reduced information asymmetry, lower cost of immediacy, higher trading activity, and an overall improvement in the efficiency of price discovery. The results are robust to the inclusion of controls for various determinants of short-horizon return predictability, such as trading costs, volatility, informational effects and other firm-specific characteristics. Research Limitations/implications Collectively, the findings provide empirical support for the benefits of detailed corporate disclosure in Canada. Originality/value This is the first study to utilize the short-horizon return predictability approach to evaluate the efficiency of price discovery in relation to the amount of information disclosure.

Low-Latency Trading and Price Discovery Without Trading: Evidence from The Tokyo Stock Exchange Pre-Opening Period

2015 ◽  
Author(s):  
Mario Bellia ◽  
Loriana Pelizzon ◽  
Marti G. Subrahmanyam ◽  
Jun Uno ◽  
Darya Yuferova
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Low Latency ◽  
Tokyo Stock Exchange

Financial statement effects of adopting IFRS: the Canadian experience

2018 ◽  
Vol 26 (4) ◽  
pp. 466-491 ◽  
Author(s):  
Eva K. Jermakowicz ◽  
Chun-Da Chen ◽  
Han Donker
Keyword(s):  
Financial Reporting ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Financial Statement ◽  
Net Income ◽  
Cross Sectional ◽  
Toronto Stock Exchange ◽  
Content Type ◽  
Publicly Traded Companies ◽  
Interaction Terms

Purpose The purpose of this study is to examine the effects of adopting International Financial Reporting Standards (IFRS) on financial statements of the largest Canadian firms (S&P/TSX 60) listed on the Toronto Stock Exchange (TSX). Design/methodology/approach This study investigates the financial statement effects of 46 companies from the S&P/TSX 60 index which report under IFRS in 2011 and switched to IFRS from CGAAP. This study used panel data analysis, which can be considered as more powerful when conducting cross-sectional and in time analysis among companies. Because of weakness of Cramer statistic on R-square, the authors used interaction terms as suggested by Hope (2007). Findings Consistent with the authors’ perceptions, this study finds that significant effects of adopting IFRS are associated with industry practices. The empirical results show that the adoption of IFRS in Canada created more relevant financial reporting for book value of equity and net income in the post-adoption periods. Originality/value This study should be of interest to the US regulators considering IFRS adoption by US publicly traded companies as well as to regulators, standard setters and listed companies in all countries worldwide that are in transition to IFRS.

scholarly journals AVALIAÇÃO HIERÁRQUICA DA INFLUÊNCIA DO PAÍS, SETOR E EMPRESA NA EVIDENCIAÇÃO DA RESPONSABILIDADE SOCIAL CORPORATIVA

2018 ◽  
Vol 29 (2) ◽  
pp. 96-121
Author(s):  
Rômulo Alves Soares ◽  
Mônica Cavalcanti Sá de Abreu ◽  
Pedro De Barros Leal Pinheiro Marino ◽  
Silvia Maria Dias Pedro Rebouças
Keyword(s):  
Stock Exchange ◽  
Toronto Stock Exchange

O estudo realiza uma avaliação hierárquica da influência do sistema nacional de negócios (SNN), setor industrial e fatores associados ao desempenho financeiro da empresa na evidenciação de responsabilidade social corporativa (RSC). Adota-se os pressupostos da teoria institucional para investigar a influência do sistema nacional de negócios na evidenciação de práticas sociais e ambientais em empresas provenientes dos setores de materiais básicos, de operações de petróleo e gás e de utilidade pública. O estudo analisa 264 observações provenientes de empresas que possuem ações negociadas nas bolsas de valores do Brasil (BM&FBovespa) e do Canadá (Toronto Stock Exchange). Foi realizado um estudo longitudinal, adotando-se estatística descritiva e estimação econométrica com modelo hierárquico. Os resultados indicam que o percentual da variância da evidenciação de RSC é explicada pelo nível do SNN, seguido dos fatores associados ao desempenho financeiro das empresas. A pesquisa reforça a necessidade de os gestores avaliarem as características que moldam o sistema nacional de negócios ao estabelecerem suas estratégias relacionadas à evidenciação de responsabilidade social corporativa.

scholarly journals The role of corporate governance in executive compensation system

2015 ◽  
Vol 12 (4) ◽  
pp. 467-479
Author(s):  
Yusuf Mohammed Nulla
Keyword(s):  
New York ◽  
Corporate Governance ◽  
Executive Compensation ◽  
Research Study ◽  
Stock Exchange ◽  
Pearson Correlation ◽  
New York Stock Exchange ◽  
Statistical Regression ◽  
Toronto Stock Exchange ◽  
York Stock Exchange

This research study explores the relationship between the executive compensation and corporate governance among the New York Stock Exchange (NYSE) and the Toronto Stock Exchange (TSX/S&P) companies from 2005 to 2010. The quantitative research method was selected for this research study. The eighty largest companies from the New York Stock Exchange and the Toronto Stock Exchange were selected. The random sample method was used to select the two populations from each index. The research question for this research study was: is there a relationship between CEO cash compensation and corporate governance among the Toronto Stock Exchange and the New York Stock Exchange companies. The four statistical regression models found that there was a weak relationship between corporate governance and executive compensation among the TSX/S&P and the NYSE populations. Also, the Pearson correlation results indicated that the corporate governance has a minimal role towards the determination of the executive compensation

scholarly journals Evidence of price discovery on the Indonesian stock exchange

2019 ◽  
Vol 83 ◽  
pp. 2-7 ◽  
Author(s):  
Susan Sunila Sharma ◽  
Kannan Thuraisamy ◽  
Muhammad Madyan ◽  
Nisful Laila
Keyword(s):  
Price Discovery ◽  
Stock Exchange
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