The impact of automation on liquidity, volatility, stock returns and efficiency : evidence from the Tunisian stock market
Joint Authors
Suud, Olfa Benouda
Hmaied, Dorra Mezzez
Source
Economic Research Forum : Working Paper Series
Issue
Vol. 2002, Issue 201-240 (31 Dec. 2002)14 p.
Publisher
Economic Research Forum for the Arab Countries Iran and Turkey
Publication Date
2002-12-31
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Topics
Abstract EN
This paper studies the impact of Tunis stock exchange automation on liquidity, volatility and stock price behavior.
By the end of 1996, securities listed on the Tunis stock exchange were transferred gradually from a manual trading system to an automated trading, in continuous for the most liquid values and by fixing for the least liquid values.
Examination of 20 securities shows an improvement of stock’s liquidity.
In addition, the transfer was associated with negative abnormal returns but no clear effect has been observed on volatility and pricing error.
American Psychological Association (APA)
Suud, Olfa Benouda& Hmaied, Dorra Mezzez. 2002. The impact of automation on liquidity, volatility, stock returns and efficiency : evidence from the Tunisian stock market. Economic Research Forum : Working Paper Series،Vol. 2002, no. 201-240.
https://search.emarefa.net/detail/BIM-149082
Modern Language Association (MLA)
Suud, Olfa Benouda& Hmaied, Dorra Mezzez. The impact of automation on liquidity, volatility, stock returns and efficiency : evidence from the Tunisian stock market. Economic Research Forum : Working Paper Series No. 201-240 (Dec. 2002).
https://search.emarefa.net/detail/BIM-149082
American Medical Association (AMA)
Suud, Olfa Benouda& Hmaied, Dorra Mezzez. The impact of automation on liquidity, volatility, stock returns and efficiency : evidence from the Tunisian stock market. Economic Research Forum : Working Paper Series. 2002. Vol. 2002, no. 201-240.
https://search.emarefa.net/detail/BIM-149082
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references.
Record ID
BIM-149082
