PrintIIROC-DeGroote Annual Conference 2008
3rd Annual Conference on Market Structure and Market Integrity
Nov. 10, 2008
Le Royal Meridien King Edward Hotel
37 King St. East
Toronto, Ontario, Canada
This one-day conference brought together academic researchers, professional practitioners and students to present, discuss and debate the latest issues, trends, challenges and opportunities in the market structure domain.
The conference is a result of a sponsorship commitment from Investment Industry Regulatory Organization of Canada (IIROC). IIROC is the national self-regulatory organization which oversees all investment dealers and trading activity on debt and equity marketplaces in Canada.
Key Note Address
Dr. Maureen O'Hara
Robert W. Purcell Professor of Management
Professor of Finance
Johnson Graduate School of Management
Cornell University
Best paper prize
The $10,000 Best Paper Award was presented to Dr. Jennifer Huang of the University of Texas and Dr. Jiang Wang of MIT for their paper Market Liquidity, Asset Prices, and Welfare.
Conference Papers
| Time | Paper | Authors |
| 7:30 a.m. - 9 a.m. |
REGISTRATION
AND BREAKFAST |
|
| 9 a.m. - 10 a.m. |
KEYNOTE ADDRESS |
|
| 10 a.m. - 11:30 a.m. |
SESSION 1: LIQUIDITY AND ASSET PRICING | |
1. Market Growth, Trader Participation and Derivative Pricing |
Michael S. Haigh Heffrey H. Harris James A. Overdahl Michel A. Robe (Presenter) |
|
| 2. Illiquidity as a Priced Factor: Evidence from Intradaily
Data [Discussion] |
Sahn-Wook Huh (Presenter) Brock University |
|
| 3. Market Liquidity, Asset Prices and Welfare [Discussion] |
Jennifer Huang (Presenter) Jiang Wang |
|
| 11:30 a.m. - 11:45 a.m. |
REFRESHMENT BREAK |
|
| 11:45 a.m. - 12:45 p.m. |
SESSION 2: ALLOCATION OF MARKET DATA REVENUE AND TRADING COST | |
1. Equity Trading and the Allocation of Market Data Revenue |
Cecilia Caglio (Presenter) Stewart Mayhew |
|
| 2. Persistence in Trading Cost: An Analysis of Institutional
Equity Trades [Discussion] |
Amber Anand Paul Irvine (Presenter) Andy Puckett Kumar Venkataraman |
|
| 12:45 p.m. - 2 p.m. |
LUNCH
AND BEST PAPER ANNOUNCEMENT |
|
| 2 p.m. - 3 p.m. |
SESSION 3: SURVEILLANCE AND COMPETITION AMONG EXCHANGES | |
| 1. Exchange Surveillance Index [Discussion] |
Douglas Cumming (Presenter) Sofia Johan |
|
| 2. Competition Among Exchanges and Enforcement Policy [Discussion] |
Cecilia Caglio Andrea Pescatori (Presenter) |
|
| 3 p.m. - 3:15 p.m. |
REFRESHMENT
BREAK |
|
| 3:15 p.m. - 4:15 p.m. |
SESSION 4: SHORT SALES | |
| 1. Information Leakages in Financial Markets: Evidence from
Shorting Around Insider Sales [Discussion] |
Bidisha Chakrabarty Andriy Shkilko (Presenter) |
|
| 2. A Multiple Lender Approach to Understanding Supply and
Demand in the Equity Lending Market [Discussion] |
Adam C. Kolasinski Adam V. Reed Matthew C. Ringgenberg (Presenter) |
|
Contact Information
Executive Education
DeGroote School of Business
execed@mcmaster.ca
905-525-9140 ext. 26372
Program Committee
Dr. Guo Ying (Rosemary) LuoProgram Chair
Associate Professor
Finance and Business Economics
DeGroote School of Business
McMaster University
Tel: 905-525-9140 ext. 23983
luogy@mcmaster.ca
Dr. James Angel
Associate Professor
McDonough School of Business
Georgetown University
Dr. Trevor Chamberlain
Professor and Chair
Finance and Business Economics
DeGroote School of Business McMaster University
Dr. Douglas Cumming
Associate Professor and Ontario Research Chair
York University
Schulich School of Business
Dr. Doug Harris
Vice-President and Associate General Counsel, General Counsel's Office
Investment Industry Regulatory Organization of Canada
Tel: 416-646-7275
dharris@iiroc.ca
Dr. Craig Holden
Associate Professor of Finance
Kelley School of Business
Indiana University
Dr. Sudipto Sarkar
Professor
Finance and Business Economics
DeGroote School of Business
McMaster University
Dr. Brian Smith
Professor of Finance
School of Business and Economics
Wilfrid Laurier University