Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity

Daniel Aghanya, Vineet Agarwal and Sunil Poshakwale

Journal of Banking & Finance, 2020, vol. 113, issue C

Abstract: The paper examines the impact of MiFID on stock price informativeness and liquidity in 28 EU countries. We find that post-MiFID the stock prices reflect greater firm specific information and the market becomes more liquid. Consistent with the ‘Catch-up Hypothesis’ our evidence shows that the impact of MiFID in terms of price informativeness is greater for countries that have weaker quality of regulation. We find that regulation with enforcement improves market efficiency. Our results are robust with respect to the choice of price informativeness and liquidity proxies as well as the control sample.

Keywords: Capital markets; Disclosure regulation; Transaction costs; Bid-ask spread; Propensity score matching (search for similar items in EconPapers)
JEL-codes: G18 G28 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619303036

DOI: 10.1016/j.jbankfin.2019.105730

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