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The Impact of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market

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  • Olfa Benouda Sioud

    (IHEC Tunis)

  • Dorra Mezzez Hmaied

Abstract

This paper studies the impact of Tunis stock exchange automation on liquidity, volatility and stock price behavior. By the end of 1996, securities listed on the Tunis stock exchange were transferred gradually from a manual trading system to an automated trading, in continuous for the most liquid values and by fixing for the least liquid values. Examination of 20 securities shows an improvement of stock?s liquidity. In addition, the transfer was associated with negative abnormal returns but no clear effect has been observed on volatility and pricing error.

Suggested Citation

  • Olfa Benouda Sioud & Dorra Mezzez Hmaied, 2002. "The Impact of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market," Working Papers 0222, Economic Research Forum, revised 01 Aug 2002.
    • Handle: RePEc:erg:wpaper:0222
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    References listed on IDEAS

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    Cited by:

    1. Izak Atiyas, 2011. "Firm-Level Data In The Mena Region: Research Questions, Data Requirements And Possibilities," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 159-190.
    2. Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, University Library of Munich, Germany, revised 02 Feb 2004.

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