Abstract
We investigate the impact of the March 1995 move to screen-based trading on the Mumbai Stock Exchange, using separate samples of more liquid (A) and less liquid (B) shares. Following the move, the average cumulative abnormal return for A shares was 4.5%, whereas that for B shares was over 12%; market liquidity and efficiency increased but the effect on volatility was more ambiguous. We identify a significant cross-sectional relationship between the size of cumulative abnormal returns and firm-specific improvements in liquidity, efficiency, and volatility, with differences in the effects of reform on A and B shares.
| Original language | English |
|---|---|
| Pages (from-to) | 361-395 |
| Number of pages | 35 |
| Journal | Asia-Pacific Journal of Financial Studies |
| Volume | 39 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1 Apr 2010 |
Keywords
- G14
- Market microstructure
- Mumbai Stock Exchange
- G12
- G18