TY - JOUR
T1 - Share liquidity and market microstructure reform
T2 - The case of screen-based trading in Mumbai
AU - Green, Christopher J.
AU - Manos, Ronny
AU - Murinde, Victor
AU - Suppakitjarak, Nathridee
PY - 2010/6
Y1 - 2010/6
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 - Market microstructure
KW - Mumbai stock exchange
UR - http://www.scopus.com/inward/record.url?scp=84855224525&partnerID=8YFLogxK
U2 - 10.1111/j.2041-6156.2010.01014.x
DO - 10.1111/j.2041-6156.2010.01014.x
M3 - Article
AN - SCOPUS:84855224525
SN - 1226-1165
VL - 39
SP - 361
EP - 395
JO - Asia-Pacific Journal of Financial Studies
JF - Asia-Pacific Journal of Financial Studies
IS - 3
ER -