Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange

• 成果类型: Article
• 署名作者: Amihud, Y; Mendelson, H; Lauterbach, B
• 署名单位: Stanford University; New York University; Bar Ilan University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00021-4
• 发表日期: 1997
• 页码: 365-390
• 关键词: Market microstructure; liquidity; trading systems

摘要

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.