Market Efficiency in Specialist Markets Before and after Automation

Posted: 23 May 2001

See all articles by Michael S. Pagano

Michael S. Pagano

Villanova University - Villanova School of Business

William C. Freund

Pace University - Lubin School of Business

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.

JEL Classification: G12, G14

Suggested Citation

Pagano, Michael S. and Freund, William C., Market Efficiency in Specialist Markets Before and after Automation. Financial Review, August 2000. Available at SSRN: https://ssrn.com/abstract=237795

Michael S. Pagano

Villanova University - Villanova School of Business ( email )

800 Lancaster Avenue
Villanova, PA 19085-1678
United States
(610) 519-4389 (Phone)

HOME PAGE: http://www90.homepage.villanova.edu/michael.pagano

William C. Freund (Contact Author)

Pace University - Lubin School of Business ( email )

1 Pace Plaza
New York, NY 10038-1502
United States
(212) 346-1814 (Phone)

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