Price clustering and economic freedom: The case of cross-listed securities

Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic

“…Our results are generally inline with prior literature connecting pandemics and fear-inducing news with equity market dynamics ( Mehra and Sah, 2002 ; Ichev and Marinč, 2018 ; Donadelli et al., 2017 ; Haroon and Rizvi, 2020b ). Our results are also consistent with the stream of research which suggests that regulatory restrictions can potentially harm the quality of financial markets ( Blau et al., 2014 ; Baig et al., 2019 , 2020 ).…”

“…Second, we add to the literature on the association of media/news originated sentiment with stock market liquidity and volatility ( Barberis et al., 1998 ; Tetlock, 2007 ; Uhl et al., 2015 ). And finally, we extend the understanding of the impact of restrictive government policies on the stability and efficiency of financial markets ( Blau et al., 2014 ; Blau, 2017 ; Baig et al., 2019 , 2020 ).…”

The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic

“…These novel results are consistent with previous pandemic intervention-related studies (e.g. Zhang et al., 2020 ; Baig et al., 2021d ) and more generally with studies suggesting that government restrictions potentially affect the stability and efficiency of financial markets ( Pastor and Veronesi, 2012 ; Blau et al., 2014 ; Blau, 2017 ; Baig et al., 2019 ; Baig et al., 2021c ). Our findings are of importance to policymakers who wish to understand the effects of government interventions, as well as financial market participants that maybe affected by such intervention.…”

“…It allows us to exploit the cross-sectional variation in government interventions across countries, in addition to the time-series variation used by prior studies as the main methodology. Prior studies also demonstrate using ADRs alleviates several endogeneity issues ( Blau et al., 2014 ; Baig et al., 2019 ; Baig et al, 2021c ). Lastly, but no less importantly, the use of ADRs listed in US markets mitigates a potential non-synchronous trading bias that may arise in exploring international capital markets, or liquidity issues, which are a common feature in emerging markets.…”

Presence of Price Clustering and Psychological Barriers in Bitcoin Market

“…To the extent that enough market participants behave in such a way, observed prices will cluster on round prices. From the most recent literature contributing to the topic, Baig et al (2019) developed the theory of the relation between economic freedom and price clustering, as they claim the lack of economic freedom and policy uncertainty will contribute to the magnitude of the negotiation costs since uncertainty makes it difficult to know true, or actual equilibrium prices. Concerning the findings from cryptocurrency markets presented in Binance (2021) and Chainanalysis (2021), the adoption of cryptocurrencies is also done in countries with lower levels of economic freedom and relatively high levels of economic freedom.…”