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Electronic Trading and Market Efficiency in an Emerging Market: The Case of the Jordanian Capital Market

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  • AKTHAM MAGHYEREH

Abstract

Realizing the benefits of stock markets in real economies, the Jordanian capital market--the Amman Stock Exchange (ASE)--was established in 1978. After more than two decades, the manual trading system of the market was replaced by a computerized trading mechanism on March 27, 2000. The primary objective of the new system is to offer investors more protection and transparency. This paper examines the efficiency of the ASE vis-à-vis the date of its automation. Based on a multifactor model with time-varying coefficients, the results show that the moved to electronic trading system had no significant impact on the ASE's efficiency. For volatility, however, we found evidence that suggests there was an increase in volatility after the introduction of automated trading.

Suggested Citation

  • Aktham Maghyereh, 2005. "Electronic Trading and Market Efficiency in an Emerging Market: The Case of the Jordanian Capital Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(4), pages 5-19, August.
    • Handle: RePEc:mes:emfitr:v:41:y:2005:i:4:p:5-19
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    Cited by:

    1. Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
    2. Liao, Huei-Chu & Lee, Yi-Huey & Suen, Yu-Bo, 2008. "Electronic trading system and returns volatility in the oil futures market," Energy Economics, Elsevier, vol. 30(5), pages 2636-2644, September.
    3. Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018. "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 33-66, January.

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