Microstructures,financial reforms and informational efficiency in an emerging market |
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| Affiliation: | 1. Erasmus Mundus EPIC Staff Mobility Program, Cardiff Metropolitan University, Cardiff School of Management, UK;2. The University of Jordan, Amman 11942, Jordan;3. Economics and Finance, Cardiff Metropolitan University, Cardiff School of Management, Llandaff, Western Avenue, Cardiff CF5 2YB, UK;4. School of Business, Trinity College Dublin, College Green, Dublin 2, Ireland;1. Southampton Business School, University of Southampton, Southampton, United Kingdom;2. Hull University Business School, University of Hull, Hull, United Kingdom;1. Department of Economics, Faculty of Business and Economics, Eastern Mediterranean University, Cyprus;2. Department of Economics, Stellenbosch University, South Africa;3. Department of Economics, University of Pretoria, Pretoria 0002, South Africa |
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| Abstract: | This paper investigates the effects of microstructures and financial reforms on time-varying informational efficiency in an emerging equity market setting. Our data comprises of firm level data from the Trinidad and Tobago Stock Exchange, over the period 1990–2013. Using a dynamic panel regression framework while controlling for firm size, we find that microstructures, specifically liquidity, volatility, automation and the number of shareholders have an important role in influencing the time-varying efficiency of this emerging market. The financial reforms, namely liberalisation and regulation are not found to have a notable influence. We also consider heterogeneity at the firm level, finding that the microstructures of the banking firms listed in this market have a greater impact on market efficiency, in relation to the other listed firms. |
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| Keywords: | Informational efficiency Market microstructures Liquidity Volatility Emerging markets finance Trinidad and Tobago Stock Exchange GMM estimator |
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