Financial market design and the equity premium: Electronic versus floor trading

• 成果类型: Article
• 署名作者: Jain, PK
• 署名单位: University of Memphis
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00822.x
• 发表日期: 2005
• 页码: 2955-2985
• 关键词: transaction costs; STOCK; liquidity; price; microstructure; equilibrium; illiquidity; RISK

摘要

We assemble the announcement and actual introduction dates of electronic trading by the leading exchanges of 120 countries to examine the impact of automation, controlling for risk factors and economic conditions. Dividend growth models and international CAPM suggest a significant decline in the equity premium, especially in emerging markets. Consistent with this reduction in the equity premium in the long run, there is a positive short-term price reaction to the switch. Further analysis of trading turnover supports the notion that electronic trading enhances the liquidity and informativeness of stock markets, leading to a reduction in the cost of capital.