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Microstructures, financial reforms and informational efficiency in an emerging market

Listed author(s):
  • Arjoon, Vaalmikki
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    This paper investigates the effects of microstructures and financial reforms on time-varying informational efficiency in an emerging equity market setting. Our data comprises of firm level data from the Trinidad and Tobago Stock Exchange, over the period 1990–2013. Using a dynamic panel regression framework while controlling for firm size, we find that microstructures, specifically liquidity, volatility, automation and the number of shareholders have an important role in influencing the time-varying efficiency of this emerging market. The financial reforms, namely liberalisation and regulation are not found to have a notable influence. We also consider heterogeneity at the firm level, finding that the microstructures of the banking firms listed in this market have a greater impact on market efficiency, in relation to the other listed firms.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0275531915300210
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    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 36 (2016)
    Issue (Month): C ()
    Pages: 112-126

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    Handle: RePEc:eee:riibaf:v:36:y:2016:i:c:p:112-126
    DOI: 10.1016/j.ribaf.2015.09.016
    Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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