Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges
This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98, and demonstrates that an auction market (with call trading) becomes efficient more quickly than a dealer market (with continuous trading). As an econometric tool for comparative analysis, she uses a Test for Evolving Efficiency which is a GARCH-M model with time-varying constraints.
|Date of creation:||Apr 1999|
|Date of revision:|
|Contact details of provider:|| Postal: Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ.|
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
|Order Information:|| Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pagano, Marco & Roell, Ailsa, 1996. " Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, vol. 51(2), pages 579-611, June.
- Ailsa Röell & Marco Pagano, 1991.
"Auction and Dealership Markets: What is the Difference?,"
FMG Discussion Papers
dp125, Financial Markets Group.
- Pagano, Marco & Roell, Ailsa, 1992. "Auction and dealership markets : What is the difference?," European Economic Review, Elsevier, vol. 36(2-3), pages 613-623, April.
- Rebecca Emerson & Stephen G. Hall & Anna Zalewska-Mitura, .
"Evolving Market Efficiency with an Application to Some Bulgarian Shares,"
Ace Project Memoranda
96/18, Department of Economics, University of Leicester.
- Emerson, Rebecca & Hall, Stephen G & Zalewska-Mitura, Anna, 1997. "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 75-90.
- Rebecca Emerson & Stephen Hall & Anna Zalewska-Mitura, 1997. "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2), pages 75-90, May.
- La Porta, Rafael, et al, 1997.
" Good News for Value Stocks: Further Evidence on Market Efficiency,"
Journal of Finance,
American Finance Association, vol. 52(2), pages 859-74, June.
- Rafael La Porta & Josef Lakonishok & Andrei Shleifer & Robert Vishny, 1995. "Good News for Value Stocks: Further Evidence on Market Efficiency," NBER Working Papers 5311, National Bureau of Economic Research, Inc.
- Biais, Bruno, 1993. " Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-85, March.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- A. Admati & P. Pßeiderer & J. Zechner, 2005.
"Large shareholder activism, risk sharing, and financial market equilibrium,"
- Admati, Anat R & Pfleiderer, Paul & Zechner, Josef, 1994. "Large Shareholder Activism, Risk Sharing, and Financial Market Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1097-1130, December.
- Zalewska-Mitura, Anna & Hall, Stephen G., 1999. "Examining the first stages of market performance: a test for evolving market efficiency," Economics Letters, Elsevier, vol. 64(1), pages 1-12, July.
- Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
- Ananth N. Madhavan, .
"Trading Mechanisms in Securities Markets,"
Rodney L. White Center for Financial Research Working Papers
16-90, Wharton School Rodney L. White Center for Financial Research.
- Vogler, Karl-Hubert, 1997. "Risk allocation and inter-dealer trading," European Economic Review, Elsevier, vol. 41(8), pages 1615-1634, August.
When requesting a correction, please mention this item's handle: RePEc:cpr:ceprdp:2134. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.