This paper examines how information is processed between almost identical international futures markets: London (LIFFE) and Tokyo (TSE) JGB futures. In these markets, variations in open-to-open changes are virtually the same as those of close-to-close changes, suggesting that information is transmitted efficiently across markets with small opening pricing errors. The overall results confirm market efficiency around the clock, yet the intraday U-shaped patterns in volume/volatility of the London JGB futures suggest home bias in international investments, indicating a less global view of trading than expected. Specifically, at the LIFFE open, London investors rush to rebalance portfolios instead of doing so at the TSE close, which is only one hour before the LIFFE opens.

We provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market. Using Helsinki Stock Exchange data, we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades. This is consistent with the hypotheses that the upstairs market is better at pricing uninformed liquidity trades and that upstairs brokers can give better prices to their customers if they know the unexpressed demands of other customers. We find that these economic benefits depend on price discovery occurring in the downstairs market.

New evidence is provided on price and volatility spillovers among the Danish, Norwegian, Swedish, and Finnish stock markets. The impact of good news (market advances) and bad news (market retreats) is described by a multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. Volatility transmission is asymmetric, spillovers being more pronounced for bad than good news. Significant price and volatility spillovers exist but they are few in number.

We examine 36 firms that moved from the American Stock Exchange (Amex) to Nasdaq and 70 firms that moved from Nasdaq to the Amex after the market reform of Nasdaq. Quoted, effective, and realized spreads increase (decrease) when firms switch from the Amex (Nasdaq) to Nasdaq (Amex). The trade size is smaller but volume is larger when firms are listed on Nasdaq. Quotations on both markets exhibit quote clustering. Unlike previous studies, the Amex-to-Nasdaq (Nasdaq-to-Amex) firms have an average market value higher (lower) than the average of all Amex (Nasdaq) firms. The excess returns are positive (and higher than reported by previous research) when firms announce a move from the Amex to Nasdaq, particularly for high-tech firms, but are insignificant for the reverse. Moreover, we find that institutional ownership and the number of institutional shareholders increase when firms move from the Amex to Nasdaq, but not when firms move from Nasdaq to the Amex. The overall results suggest that firms that move to Nasdaq increase investor recognition and volume at the expense of an increase in trading costs, whereas firms that move to the Amex experience lower trading costs with no apparent change in investor recognition.

We examine the impact of influenza on stock markets. For the United States, a higher incidence of flu is associated with decreased trading, decreased volatility, decreased returns, and higher bid-ask spreads. Consistent with the flu affecting institutional investors and market makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is related to the incidence of flu nationally. International data confirm our findings of a decrease in trading activity and returns when flu incidence is high.

We provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market. Using Helsinki Stock Exchange data, we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades. This is consistent with the hypotheses that the upstairs market is better at pricing uninformed liquidity trades and that upstairs brokers can give better prices to their customers if they know the unexpressed demands of other customers. We find that these economic benefits depend on price discovery occurring in the downstairs market.

Stock split ex-dates are associated with both an increased intensity of small investor buying and a positive abnormal return. The broker promotion hypothesis suggests that the increase in relative spread after a split induces brokers to promote splitting stocks to small investors. The trading inconvenience hypothesis ascribes the ex-split effects to inconveniences such as investors' aversion to dealing with due bills, which is unrelated to relative spreads. The reduction in the bid-ask spread due to decimalization allows us to disentangle these two hypotheses. During the 1/8th pricing period, we show that after the ex-date, the relative spread increases significantly. The average buy order size decreases and the frequency of small transactions increases after the split. After decimalization, these changes are smaller in magnitude. We observe significant positive abnormal returns around the ex-date during the 1/8th pricing period, but not in the decimal pricing period. These results support the broker promotion hypothesis.

We examine the impact of monetary policy announcements by the Federal Open Market Committee (FOMC) on long-term US and German bond futures. Using transaction-level data during the post-financial crisis period, we observe a sizable post-announcement drift in government bond markets. A trading strategy of investing in the market after expansionary shocks and shorting the market following contractionary surprises yields up to four times the Sharpe ratio of buy-and-hold investment. The post-FOMC announcement drift coincides with more informative order flows in the post-announcement period, and it persists for 15 days. Moreover, our study shows an absence of pre-FOMC announcement drift. Our findings shed some light on how the bond markets react to public news arrival.