Microstructures, financial reforms and informational efficiency in an emerging market

Vaalmikki Arjoon

Research in International Business and Finance, 2016, vol. 36, issue C, 112-126

Abstract: This paper investigates the effects of microstructures and financial reforms on time-varying informational efficiency in an emerging equity market setting. Our data comprises of firm level data from the Trinidad and Tobago Stock Exchange, over the period 1990–2013. Using a dynamic panel regression framework while controlling for firm size, we find that microstructures, specifically liquidity, volatility, automation and the number of shareholders have an important role in influencing the time-varying efficiency of this emerging market. The financial reforms, namely liberalisation and regulation are not found to have a notable influence. We also consider heterogeneity at the firm level, finding that the microstructures of the banking firms listed in this market have a greater impact on market efficiency, in relation to the other listed firms.

Keywords: Informational efficiency; Market microstructures; Liquidity; Volatility; Emerging markets finance; Trinidad and Tobago Stock Exchange; GMM estimator (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:36:y:2016:i:c:p:112-126

DOI: 10.1016/j.ribaf.2015.09.016

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