caa a22 4500 605486336 CHVBK 20210128100445.0 cr unu---uuuuu 210128e20151101xx s 000 0 eng 10.1007/s10551-014-2294-5 doi (NATIONALLICENCE)springer-10.1007/s10551-014-2294-5 A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency [Elektronische Daten] [Michael Aitken, Frederick de B. Harris, Shan Ji] We develop a framework for assessing security market quality (MQ), relating five elements of market design to three metrics of market integrity and two metrics of market efficiency. We empirically implement this integrity-efficiency MQ framework by testing a hypothesis that trade-based ramping manipulation at the close (MTC) raises execution costs on 24 security markets worldwide. Estimating a simultaneous equations model of ramping incidence, spreads, and the probability of deploying real-time surveillance (RTS), we show that quoted bid-ask spreads are positively related to the incidence of MTC across seven liquidity deciles. The magnitude is economically significant; improving market integrity by cutting MTC in half reduces spreads 6-11%. Allowing direct market access in conjunction with RTS, conducting auctions at the close, and developing regulations that require surveillance, all reduce MTC and thereby lower spreads, assuring better market integrity and enhancing market efficiency. Introducing circuit breakers or prohibiting shorts poses integrity-efficiency tradeoffs. Springer Science+Business Media Dordrecht, 2014 Market integrity nationallicence Business ethics nationallicence Security market quality nationallicence Market manipulation nationallicence Aitken Michael Capital Markets Cooperative Research Centre and Australian School of Business, University of New South Wales, Sydney, NSW, Australia aut de B. Harris Frederick Wake Forest University School of Business, Winston-Salem, NC, USA aut Ji Shan Capital Markets Cooperative Research Centre, Sydney, NSW, Australia aut Journal of Business Ethics Springer Netherlands 132/1(2015-11-01), 147-170 0167-4544 132:1<147 2015 132 10551 https://doi.org/10.1007/s10551-014-2294-5 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10551-014-2294-5 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Aitken Michael Capital Markets Cooperative Research Centre and Australian School of Business, University of New South Wales, Sydney, NSW, Australia aut NATIONALLICENCE 700 1- de B. Harris Frederick Wake Forest University School of Business, Winston-Salem, NC, USA aut NATIONALLICENCE 700 1- Ji Shan Capital Markets Cooperative Research Centre, Sydney, NSW, Australia aut NATIONALLICENCE 773 0- Journal of Business Ethics Springer Netherlands 132/1(2015-11-01), 147-170 0167-4544 132:1<147 2015 132 10551