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This study examines the semi-strong market efficiency of the Indian agricultural commodity market in light of market reforms and policies. This study investigates whether the market reforms have boosted the speed of price adjustment and influenced the market quality.

The study used the daily data of nine agricultural commodities. To precisely capture the effects of market microstructure changes, this study split the whole data into pre- and post-ban and pre- and post-reform eras. To ascertain the velocity of price adjustment, the authors used the ARMA (1,1) model, and the ADD VRatio was employed to identify the price movement on a specific day.

This study found that full incorporation of information happens sometimes. The authors noticed no gradual progress in the quickness of price adjustment. Since both methods suggested the same result for the period, the authors confirm that market microstructure changes do not enhance market quality.

This research has implications for academicians, policymakers and market players.

The paper has twofold novelty. First, this is a contemporary topic, and very few studies have been done in the Indian agriculture context. Second, the study has implications for policymakers and government because it highlights the effects of structural changes on market quality and market efficiency.

This study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.

The analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.

The results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.

Enhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.

This very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity return of the Indian equity market. It also examines the effects of illiquidity and decomposed illiquidity on the conditional volatility of the equity market.

The present study employs the Liquidity Adjusted Capital Asset Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the Indian stock market from January 1, 2012, to March 31, 2021. Further, the study employed an exponential generalized autoregressive conditional heteroscedastic (1,1) model to observe the impact of decomposed illiquidity on the equity market’s conditional volatility. The study also uses the Ordinary Least Square (OLS) model to illuminate the return-volatility-liquidity relationship.

The study’s findings indicate that the commonality between individual security liquidity and aggregate liquidity is positive, and the covariance of individual security liquidity and the market return negatively affects the expected return. The study’s outcome specifies that illiquidity time series analysis exhibits the asymmetric effect of directional change in return on illiquidity. Further, the study indicates a significant impact of illiquidity and decomposed illiquidity on conditional volatility. This suggests an asymmetric effect of illiquidity shocks on conditional volatility in the Indian stock market.

This study is one of the few studies that used the World Uncertainty Index (WUI) to measure liquidity and market risks as specified in the LCAPM. Further, the findings of the reverse impact of illiquidity and decomposed higher and lower illiquidity on conditional volatility confirm the presence of price informativeness and its immediate effects on illiquidity in the Indian stock market. The study strengthens earlier studies and offers new insights into stock market liquidity to clarify the association between liquidity and stock return for effective policy and strategy formulation that can benefit investors.

The study examines the relationship between news intensity, media sentiment and market microstructure invariance-implied measures of trading activity and liquidity of Chinese property developer stocks during the 2020–2022 Chinese property sector crisis.

The authors adopt the extension of the news article invariance hypothesis, which is a generalization of the market microstructure invariance conjecture, from January 2020 to January 2022 to test specific quantitative relationships between the arrival rate of public information, trading activity and a nonlinear function of a proxy for the probability of informed trading. Empirical tests are based on a dataset of 22,412 firm-day observations and two count-data models to correct for overdispersion and the excess number of zeros. Seventy-five stocks of Chinese companies from the property development industry (including the China Evergrande Group) were included in the sample.

The authors reject the news article invariance hypothesis but document a positive and significant relationship between the flow of public information and risk liquidity. Additionally, the authors find that the proxy for informed trading activity is positively related to the arrival rates of public information from October 2021 to January 2022.

The findings support the hypothesis that negative (positive) media sentiment induces significant deterioration (insignificant improvement) in stock liquidity. The authors find that an increase in the number of news articles about a company corresponds to a higher liquidity of Chinese property developers' stocks after controlling for media sentiment.

As a financial policy, dividend policy significantly affects firm value. This chapter analyzes how stock prices react to dividend decisions. First, a dividend payment is an extraction of value; therefore, stock price theoretically drops by the dividend amount on the ex-dividend day. In practice, the price drop and the dividend magnitude are not equal because of tax clientele, short-term trading, and market microstructure. Investors are indifferent in trading stocks before and after stocks go ex-dividend if they obtain equal marginal benefits from the two trading times. The difference in tax rates on dividends and capital gains leads to the gap between the price drop and the dividend amount. Moreover, if transaction costs are considerable, investors have high incentives to short-sell stocks until they cannot obtain more profits. The final outcome of this short-term trading is the difference between the price drop and the dividend amount. Furthermore, market microstructure factors such as limit orders, bid-ask spread, and price discreteness also create this gap. Second, dividend announcements convey valuable information to outsiders. When firms announce increases (decreases) in dividends, their stock prices tend to increase (decrease). Third, dividend policy is negatively related to stock price volatility. This negative relationship is explained by duration effect, rate of return effect, arbitrage realization effect, and information effect. Empirical evidence for this relationship is found in many countries. Finally, dividend smoothing is also considered as a signal about firms' future earnings. Consequently, firms with stable dividends have higher market value. In other words, dividend stability has a positive effect on stock prices.

Behavioral finance and market microstructure studies suggest that the investor sentiment and liquidity are related. This paper aims to examine the aggregate sentiment–liquidity relationship in emerging markets (EMs) for both the sample period and crisis period. Then, it verifies this relationship, using the asymmetric sentiment.

This study uses a sample consisting of stocks listed on the SSE Shanghai composite index (348 stocks), the JKSE (118 stocks), the IPC (14 stocks), the RTS (12 stocks), the WSE (106 stocks) and FTSE/JSE Africa (76 stocks). This is for the period ranging from February, 2002 until March, 2021 (230 monthly observations). We use the panel data and apply generalized method-of-moments (GMM) of dynamic panel estimators.

The empirical analysis shows the following results: first, it demonstrates a significant relationship between the aggregate investor sentiment and the stock market liquidity for the sample period and crisis one. Second, referring to the asymmetric sentiment, we have empirically given proof that the market is significantly more liquid in times of the optimistic sentiment than it is in times of the pessimistic sentiment. Third, using panel causality tests, we document a unidirectional causality between the investor sentiment and liquidity in a direct manner through the noise traders and the irrational market makers and also a bidirectional causality in an indirect channel.

The results reported in this paper have implications for regulators and investors in EMs. Firstly, the study informs the regulators that the increases and decreases in the stock market liquidity are related to the investor sentiment, not financial shocks. We empirically evince that the traded value is higher in the crisis. Secondly, we inform insider traders and rational market makers that the persistence of increases in the trading activity in both quiet and turbulent times is associated with investor participants such as noise traders and irrational market makers.

The originality of this work lies in employing the asymmetric sentiment (optimistic/pessimistic) in order to denote the sentiment–liquidity relationship in EMs for the sample period and the 2007–2008 subprime crisis.