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Share Liquidity and Market Microstructure Reform: The Case of Screen-based Trading in Mumbai
Ronny Manos,Christopher J. Green,Victor Murinde,Nathridee Suppakitjarak 한국증권학회 2010 Asia-Pacific Journal of Financial Studies Vol.39 No.3
We investigate the impact of the March 1995 move to screen-based trading on the Mumbai Stock Exchange, using separate samples of more liquid (A) and less liquid (B) shares. Following the move, the average cumulative abnormal return for A shares was 4.5%, whereas that for B shares was over 12%; market liquidity and efficiency increased but the effect on volatility was more ambiguous. We identify a significant cross-sectional relationship between the size of cumulative abnormal returns and firm-specific improvements in liquidity, efficiency, and volatility, with differences in the effects of reform on A and B shares.