Volume, Volatility, Liquidity and Efficiency of the Singapore Stock Exchange Before and after Automation

20 Pages Posted: 23 May 2006

See all articles by G. N. Naidu

G. N. Naidu

College of Business Finance, Insurance, and Law

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract

The Singapore Stock Exchange automated fully in 1989. We discuss the reasons why automation could influence aspects of trading such as volume, volatility, liquidity, market efficiency, and bid-ask spreads. Examination of 28 securities suggests that automation is associated with increases in volumes traded, return volatility and liquidity as defined by the ratio of volume to volatility. Improvements in market efficiency appear in reduced serial correlations of returns. Bid-ask spreads and their variability widen somewhat.

Keywords: automated exchange, electronic trading, volume, bid-ask spread, liquidity, volatility

JEL Classification: G10, G15, G20

Suggested Citation

Naidu, G. N. and Rozeff, Michael S., Volume, Volatility, Liquidity and Efficiency of the Singapore Stock Exchange Before and after Automation. Pacific-Basin Finance Journal, Vol. 2, 1994. Available at SSRN: https://ssrn.com/abstract=903512

G. N. Naidu

College of Business Finance, Insurance, and Law ( email )

Normal, IL 61761
United States

Michael S. Rozeff (Contact Author)

SUNY at Buffalo - Department of Financial & Managerial Economics ( email )

Buffalo, NY 14260
United States

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