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In this chapter, we examine whether corporate environmental reporting (CER) by listed companies in Kenya improves stock liquidity. The investigation is motivated by the growing interest by corporations, investors, and regulators toward embracing ecological protection with a view to creating sustainable societies for the future.

Using a panel dataset comprising of 244 firm-year observations from 50 listed firms in Kenya over a five-year period (2011 to 2015), we perform fixed-effects regressions to discern whether CER is associated with stock liquidity. To examine this, we utilize bid-ask (as well as quoted) spreads measured over month −9 to month +3 relative to a firm’s year end.

Despite the seemingly low levels of CER across firms in the sample (average: 32.6%), the results depict that CER is positively associated with stock liquidity. The results are robust even when we consider changes in bid-ask spreads and CER together with the other variables. The same results emerge when we study the association between bid-ask spreads and each CER item at a time over the period 2011–2015.

The results imply that listed companies in Kenya that engage in higher CER seem to be more attractive to investors. The higher CER seems to improve the information environment, hence reducing information asymmetry and therefore attracting investors. The results provide some evidence of positive economic consequences of engaging in additional disclosure over and above the traditional corporate financial reporting.

The study adds onto the dearth of literature on the economic consequences of embracing additional disclosure frameworks in developing countries where the adoption of alternative reporting frameworks is at infancy.

This study investigates whether broker anonymity impairs the ability of the market to detect informed trading in the lead up to takeover announcements. Our research represents the first study in this area to analyse the effects of broker anonymity in the context of significant information asymmetry. Results indicate that informed traders are less detected, and therefore better off when broker identifiers are concealed. This finding has important policy implications for exchange officials deciding whether or not to reveal broker identifiers surrounding trades, especially considering that almost all prior research suggests that broker anonymity is correlated with improved liquidity.

The authors examine the factors that impact the growth of exchange traded funds (ETFs) from 1990 to 2020. The authors show the first-mover and winner-takes-all effects from top ETF issuers. Besides the longer history and larger asset under management (AUM), the ETFs being managed by top issuers have exhibited lower risks and higher trading volume. Delisted ETFs on the contrary has a shorter history, lower AUM, higher risks, and lower trading volume. For zombie ETFs, the authors find longer history, lower risks but lower AUM and trading volume, controlled for total expense ratio, return, volatility, Amihud (2002) illiquidity, bid-ask spread, turnover ratio, as well as year, issuer, asset class and region fixed effects. The authors further study the ETFs’ AUM and trading activities over the 2008 Global Financial Crisis (GFC) and COVID-19 pandemic crisis, and find that the GFC has a significant negative impact while the COVID-19 has a positive impact on the ETFs’ popularity. The significant increase in AUM of ETF relative to common stocks during the COVID-19 is associated with retail investors’ holdings, as the authors document a significant reduction of institutional holdings at the aggregate level.

This chapter analyzes the market response to ticker symbol change of stocks with non-conventional voting structures (or multiple class shares, MCS). I find a significant drop (increase) in prices and liquidity (short-sale activity) of MCS stocks, with the most severe decrease being reported for the lower-voting class. This evidence suggests that investors revised downward the assessment of MCS stocks. Regression analysis shows that a significant part of the cross-sectional variation of the event-results is explained by firm's agency costs. Overall, the chapter stresses the importance of enhanced market transparency in curbing private benefits.

In this chapter we examine the determinants of the long-run stock price performance of Initial Public Offerings (IPOs) on Europe’s new stock markets. We report that the average company that went public on these markets has been a very poor long-term investment. We find that the stock price performance during a three-year window is inversely related to first-day returns. We also find that the long-term underperformance of IPO firms begins after the lock-up agreement has expired and insiders start trading in the firm’s shares. These findings are consistent with the divergence of opinion hypothesis of Miller (1977).

Business group affiliation seems to make a firm more opaque. The benefits of group affiliation (internal market transactions) and the negative aspects of group affiliation (agency problems of group control) both may make group firms more opaque than non-group firms. Using the opacity index developed by Anderson, Duru, and Reeb (2009), this paper reports that Korean group firms are more transparent than non-group firms after the Asian financial crisis (1997–1998) and this leads to better performance of group firms. The improved transparency results from disappeared internal market benefits and diminished agency problems. These results are robust after controlling for the size of internal markets of groups, industry diversification, the existence of group inside financial institutions, and endogeneity.

This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high frequency of five minutes. By examining 11 currencies over a 13-year sample period, we utilize a balanced dynamic panel regression to investigate whether the risk associated with the currencies quoted or trading activity affects the variability of liquidity provision in the FX market and examine whether the crisis periods have any effect. We find that both the level of spread and volatility of spread increases during the crisis periods for the currencies of emerging countries. In addition, we find increases in risks associated with the currencies proxied by realized volatility during the crisis periods. We also show risks associated with the currency are the major determinants of the variability of liquidity and that these relationships strengthen during periods of uncertainty. First, we develop measures to capture the variability of liquidity. Our measures to capture the variability of liquidity are non-parametric and model-free variable. Second, we contribute to the debate of whether variability of liquidity is adverse to market participants by examining what drives the variability of liquidity. Finally, we analyze seven crisis periods, allowing us to document the effect of the crises on determinants of variability of liquidity over time.

We examine the informational roles of trades and time between trades in the domestic and overseas US Treasury markets. A vector autoregressive model is employed to assess the information content of trades and time duration between trades. We find significant impacts of trades and time duration between trades on price changes. Larger trade size induces greater price revision and return volatility, and higher trading intensity is associated with a greater price impact of trades, a faster price adjustment to new information and higher volatility. Higher informed trading and lower liquidity contribute to larger bid–ask spreads off the regular daytime trading period.

Stock markets during the day are relatively centralized, while night markets, due to the dominance of electronic trading venues, are fragmented. Though electronic markets at night allow more competition for order flow, they may result in decreased order interaction and decreased transparency. Using transaction data for three exchange traded funds (ETFs), we find that bid–ask spreads are wider at night due to higher order processing costs, market maker rents, and inventory holding costs. Results show that night markets are informationally fragmented and are not able to impound information available in net order flow to the same degree as day markets.