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• W2036344053 abstract "This paper examines the value effects of improvements in the trading mechanism. Stocks on the Tel Aviv Stock Exchange were transferred gradually from a daily call auction to a mechanism where the call auction was followed by iterated continuous trading sessions. This event was associated with a positive and permanent price appreciation. The cumulative average market-adjusted return over a period that started five days prior to the announcement and ended 30 days after the stocks started trading by the new method was approximately 5.5%. In addition, we find positive liquidity externalities (spillovers) across related stocks, and improvements in the value discovery process due to the improved trading method. Finally, there was a positive association between liquidity gains and price appreciation. Our results suggest that improvements in market microstructure are valuable." @default.
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• W2036344053 date "2012-11-12" @default.
• W2036344053 modified "2023-09-23" @default.
• W2036344053 title "Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange＊" @default.
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• W2036344053 doi "https://doi.org/10.1017/cbo9780511844393.007" @default.
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