Limit order adjustment mechanisms and ex-dividend day stock price behavior

Keith Jakob, Tongshu Ma

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


Unlike the NYSE, the Toronto Stock Exchange (TSX) does not adjust prices in the outstanding limit orders on ex-dividend days. We find that TSX ex-day stock price behavior differs from that on the NYSE in several key aspects. In each case, the TSX ex-day behavior is consistent with the lack of a limit order adjustment mechanism. Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior. Our findings also resolve the puzzle of the relatively small ex-day price drop in Canada.

Original languageEnglish
Pages (from-to)89-101
Number of pages13
JournalFinancial Management
Issue number3
StatePublished - 2005


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