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Does automation improve stock market efficiency in Ghana?

African Review of Economics and Finance

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Title Does automation improve stock market efficiency in Ghana?
 
Creator Mensah, J T
Adom, P K
Pomaa-Berko, M
 
Subject automation; stock market efficiency; Ghana Stock Exchange
 
Description The automation of the Ghana Stock Exchange (GSE) in 2008, among other reforms, was expected to improve the efficiency of the market. The extent of this truism has, however, not been empirically established for the GSE. In this study, we attempt to assess the impact of the automation on the efficiency of the GSE within the framework of the weak-form Efficient Market Hypothesis (EMH) based on the before and after approach. The study was done both at the aggregate and micro-level. The aggregate result showed that automation of the exchange did not improve the overall efficiency of the exchange. However, there is evidence that the number of market participants involved in the exchange has increased in the post-automation era. The results of the impact of the automation on the effi ciency of the microstructure are, however, mixed. Generally, the rejection of the null hypothesis under homoscedasticity was found to be robust to heteroscedasticity for some firms, but the reverse was the case for other fi rms. This implies that the rejection of the null hypothesis under homoscedasticity is due to both heteroscedasticity and serial correlation. Based on the findings, a mix of strategies aimed at improving the efficiency of the exchange are recommended.Keywords: automation; stock market efficiency; Ghana Stock Exchange
 
Publisher Rhodes University
 
Contributor —
 
Date 2014-08-25
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://www.ajol.info/index.php/aref/article/view/106922
 
Source African Review of Economics and Finance; Vol 6, No 1 (2014); 69-101
2042-1478
 
Language eng
 
Relation https://www.ajol.info/index.php/aref/article/view/106922/96830
 
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