Market Efficiency in Specialist Markets Before and After Automation

William C Freund and Michael S Pagano

The Financial Review, 2000, vol. 35, issue 3, 79-104

Abstract: Using nonparametric statistical analysis, we measure the degree of market efficiency before and after automation at the New York and Toronto Stock Exchanges. Overall, the results show that the level of informational efficiency remains effectively unchanged during the automation period. Despite several deviations from a random walk process, the returns for stocks on these exchanges do not appear to exhibit consistent patterns that investors can exploit to generate abnormal returns. Automation also coincides with an improvement in market efficiency at the Toronto Stock Exchange when compared to the New York Stock Exchange. Copyright 2000 by MIT Press.

Date: 2000
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