RT Journal Article
SR Electronic
T1 Evidence-Based Policy Making for Financial Markets: <em>A</em>
	       <br/>
	       <em>Fairness and Efficiency Framework for Assessing</em>
	       <br/>
	       <em>Market Quality</em>
JF The Journal of Trading
FD Institutional Investor Journals
SP 22
OP 31
DO 10.3905/jot.2011.6.3.022
VO 6
IS 3
A1 Michael J. Aitken
A1 Frederick H. deB. Harris
YR 2011
UL https://pm-research.com/content/6/3/22.abstract
AB We propose an outcomes-based regulatory framework for assessing security market quality that includes measurement proxies for market integrity or fairness as well as market efficiency. Across 21 leading equity markets worldwide, a price impact metric of effective spreads minus realized spreads is 10-fold greater from the most to the least efficient market. Moreover, some metrics of market integrity exhibit an even wider range. The incidence of trading ahead of price-sensitive announcements varies from 0.02 to 0.44 of 1% of total turnover, and cumulative abnormal profit from such insider trading varies from as little as $2,556 to $21 million each security year.TOPICS: Exchanges/markets/clearinghouses, information providers/credit ratings