The effect of electronic trading on market liquidity and stock price behavior : an empirical study on Amman Stock Exchange

الملخص EN

This study investigates the impact of applying the Electronic Trading System (ETS) which implemented on market liquidity and stock prices behavior in Amman Stock Exchange (ASE) before and after its implementation on 26th March, 2000.

Our data consist of closing prices and trading volume for 38 companies over the period from 1st January, 1996 to 31st December, 2004.

We conduct an event study for the monthly relative means of ‘trading volume' as a proxy for liquidity.

Additionally, stock price behavior is examined through conducting an event study for the stock return.

The findings of this research can be summarized as follows.

First, market liquidity is significantly influenced by the electronic trading.

The trading volume which is higher on an automated trading system than on a floor trading system.

Second the impact of electronic trading shows a negative abnormal return.