Share Liquidity and Market Microstructure Reform: The Case of Screen-based Trading in Mumbai*

CJ Green; R Manos; Victor Murinde; N Suppakitjarak

doi:10.1111/j.2041-6156.2010.01014.x

Share Liquidity and Market Microstructure Reform: The Case of Screen-based Trading in Mumbai*

CJ Green, R Manos, Victor Murinde, N Suppakitjarak

Social Sciences

Research output: Contribution to journal › Article

2 Citations (Scopus)

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	https://doi.org/10.1111/j.2041-6156.2010.01014.x
Publication status	Published - 1 Apr 2010

Keywords

G14
Market microstructure
Mumbai Stock Exchange
G12
G18

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10.1111/j.2041-6156.2010.01014.x

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title = "Share Liquidity and Market Microstructure Reform: The Case of Screen-based Trading in Mumbai*",

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.",

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AU - Green, CJ

AU - Manos, R

AU - Murinde, Victor

AU - Suppakitjarak, N

PY - 2010/4/1

Y1 - 2010/4/1

N2 - 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.

AB - 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.

KW - G14

KW - Market microstructure

KW - Mumbai Stock Exchange

KW - G12

KW - G18

U2 - 10.1111/j.2041-6156.2010.01014.x

DO - 10.1111/j.2041-6156.2010.01014.x

M3 - Article

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VL - 39

SP - 361

EP - 395

JO - Asia-Pacific Journal of Financial Studies

JF - Asia-Pacific Journal of Financial Studies

IS - 3

ER -

Share Liquidity and Market Microstructure Reform: The Case of Screen-based Trading in Mumbai*

Abstract

Keywords

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