Does Automation Improve Stock Market Efficiency? Evidence from Ghana

As a burgeoning capital market in an emerging economy, automation of the stock market is regarded as a major step towards integrating the financial market as a conduit for economic growth. The automation of the Ghana Stock Exchange (GSE) in 2008 is expected among other things to improve the efficiency of the market. This paper therefore investigates the impact of the automation on the efficiency of the GSE within the framework of the weak-form Efficient Market Hypothesis (EMH) using daily market returns from the Ghana Stock Exchange All-Share index from 2006 to 2011. The Unit Root Random Walk and the GARCH models were used to analyze the efficiency of the GSE in the pre and post automation sample periods. Results show that the GSE was weakly inefficient in both pre and post automation periods, suggesting that the automation of the GSE have not yielded the needed impact towards improving the efficiency of the exchange.