The Effects of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market

This paper examines the effects of automation on the liquidity, volatility, returns and efficiency of shares traded on the Tunisian stock exchange (TSE). By the end of 1996, stocks listed on the TSE were transferred gradually from manual trading to automated trading. The TSE operates a continuous market for frequently traded securities and a call-auction for infrequently traded securities. While our results show an improvement in the liquidity of shares following the automation, returns decreased and no significant effects on volatility or efficiency were detected.

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Year of publication:	2003
Authors:	Sioud, Olfa Benouda ; Mezzez Hmaied, Dorra
Published in:	Review of Middle East Economics and Finance. - De Gruyter, ISSN 1475-3693, ZDB-ID 2112761-X. - Vol. 1.2003, 2, p. 43-56
Publisher:	De Gruyter
Subject:	automation \| efficiency \| emerging markets \| liquidity \| market microstructure \| trading systems

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1475-3693.1008 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014618717