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

Listed author(s):
  • Sioud Olfa Benouda

    (Department of Finance, Institut des Hautes Etudes Commerciales de Carthage)

  • Mezzez Hmaied Dorra

    (Department of Finance, Institut des Hautes Etudes Commerciales de Carthage)

Registered author(s):

    This paper examines the effects of automation on the liquidity, volatility, returns and efficiency of shares traded on the Tunisian stock exchange (TSE). By the end of 1996, stocks listed on the TSE were transferred gradually from manual trading to automated trading. The TSE operates a continuous market for frequently traded securities and a 'call-auction’ for infrequently traded securities. While our results show an improvement in the liquidity of shares following the automation, returns decreased and no significant effects on volatility or efficiency were detected.

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    File URL: https://www.degruyter.com/view/j/rmeef.2003.1.2/rmeef.2003.1.2.1008/rmeef.2003.1.2.1008.xml?format=INT
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    Article provided by De Gruyter in its journal Review of Middle East Economics and Finance.

    Volume (Year): 1 (2003)
    Issue (Month): 2 (August)
    Pages: 43-56

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    Handle: RePEc:bpj:rmeecf:v:1:y:2003:i:2:n:3
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    1. Biais, Bruno, 1993. " Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-185, March.
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