Abstract
Realizing the benefits of stock markets in real economies, the Jordanian capital market - the Amman Stock Exchange (ASE) - was established in 1978. After more than two decades, the manual trading system of the market was replaced by a computerized trading mechanism on March 27,2000. The primary objective of the new system is to offer investors more protection and transparency. This paper examines the efficiency of the ASE vis-à-vis the date of its automation. Based on a multifactor model with time-varying coefficients, the results show that the moved to electronic trading system had no significant impact on the ASE's efficiency. For volatility, however, we found evidence that suggests there was an increase in volatility after the introduction of automated trading.
Original language | English |
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Pages (from-to) | 5-19 |
Number of pages | 15 |
Journal | Emerging Markets Finance and Trade |
Volume | 41 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2005 |
Externally published | Yes |
Keywords
- Amman Stock Exchange
- Electronic trading system
- Evolving market efficiency
- Kalman filter
ASJC Scopus subject areas
- General Economics,Econometrics and Finance
- Finance