Electronic Trading and Market Efficiency in an Emerging Market: The Case of the Jordanian Capital Market

Aktham Maghyereh

Emerging Markets Finance and Trade, 2005, vol. 41, issue 4, 5-19

Abstract: Realizing the benefits of stock markets in real economies, the Jordanian capital market--the Amman Stock Exchange (ASE)--was established in 1978. After more than two decades, the manual trading system of the market was replaced by a computerized trading mechanism on March 27, 2000. The primary objective of the new system is to offer investors more protection and transparency. This paper examines the efficiency of the ASE vis-à-vis the date of its automation. Based on a multifactor model with time-varying coefficients, the results show that the moved to electronic trading system had no significant impact on the ASE's efficiency. For volatility, however, we found evidence that suggests there was an increase in volatility after the introduction of automated trading.

Keywords: Amman Stock Exchange; electronic trading system; evolving market efficiency; Kalman filter (search for similar items in EconPapers)
Date: 2005
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