Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Amihud, Yakov | - |
dc.contributor.author | Mendelson, Haim | - |
dc.contributor.author | Lauterbach, Beni | - |
dc.date.accessioned | 2008-05-29T07:16:01Z | - |
dc.date.available | 2008-05-29T07:16:01Z | - |
dc.date.issued | 1997-10 | - |
dc.identifier.uri | http://hdl.handle.net/2451/26846 | - |
dc.description.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. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | FIN-98-004 | en |
dc.title | Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange | en |
dc.type | Working Paper | en |
Appears in Collections: | Economics Working Papers |
Files in This Item:
File | Description | Size | Format | |
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wpa98004.pdf | 1.51 MB | Adobe PDF | View/Open |
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