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Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange
Open accessAbstract
This paper examines the value effects of improvements in the trading mechanism. Selected 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.
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Do stock market liberalizations cause investment booms?
Henry, P. B. (2000) · Journal of Financial Economics · doi:10.1016/s0304-405x(00)00073-8 · Cited by 864
Metadata
- Authors
- Amihud, Y., Mendelson, H., & Lauterbach, B.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1997-09
- Volume
- 45
- Issue
- 3
- Pages
- 365-390
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W3122733718
- Cited by
- 652
- References
- 0
- FWCI
- 16.95
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Amihud, Y., Mendelson, H., & Lauterbach, B. (1997). Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(97)00021-4
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
