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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26917
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| Title: | Market Microstructure and Securities Values: Evidence From the Tel Aviv
Stock Exchange |
| Authors: | Yakov, Amihud
Mendelson, Haim
Lauterbach, Beni |
| Issue Date: | Oct-1996 |
| Series/Report no.: | FIN-96-007 |
| Abstract: | This paper examines the value effects of improvements in the trading
mechanism. Stocks on the Tel Aviv Stock Exchange were transferred
gradually from a daily call auction to a mechanism where the call
auction was followed by iterated continuous trading sessions. This event
was associated with a positive and permanent price appreciation. The
cumulative average market-adjusted return over a period that started
five days prior to the announcement and ended 30 days after the stocks
started trading by the new method was approximately 5.5%. In addition,
we find positive liquidity externalities (spillovers) across related
stocks, and improvements in the value discovery process due to the
improved trading method. Finally, there was a positive association
between liquidity gains and price appreciation. Our results suggest that
improvements in market microstructure are valuable. |
| URI: | http://hdl.handle.net/2451/26917 |
| Appears in Collections: | Finance Working Papers
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