| Popis: |
The effects of electronic automation and market structure on three stock exchanges in the U.S., Canada, and Israel are examined. Using non-parametric statistical analysis, the degree of market efficiency was measured before and after automation. The results reveal that the level of informational efficiency remains unchanged during the automation period. Despite several deviations from a random walk process, the returns of stocks on the above exchanges do not appear to exhibit consistent patterns that can be exploited by investors pursuing mean-reverting and/or trend-following investment strategies. We also find that a call auction market structure possesses the same degree of market efficiency as exchanges based on market specialists. |
