The Impact of Trading Technology Particularly Automation on Zimbabwe Stock Exchange (Zse) Performance
Author(s)
Lucky Tuzuka Musikavanhu , Mufaro Andrew Matandare , Noel Zhou ,
Download Full PDF Pages: 24-31 | Views: 1351 | Downloads: 399 | DOI: 10.5281/zenodo.3484450
Abstract
Automation of the Zimbabwe Securities Exchange was implemented in 2014 with the aim of improving the efficiency of stock market performance as measured by efficiency, turnover and market capitalization. The purpose of this study was to measure the impact of automation on the Zimbabwe stock exchange (ZSE) performance. Annual secondary data from 2012 to 2017 was used to measure the impact of automation on stock market performance. Panel vector autoregressive (PVAR) model was used on twelve firms to analyse the effect of automation on ZSE performance. The results indicated that the performance of the ZSE had been improved by the introduction of automation. The study recommends that ZSE should pursue full market automation as this will improve the performance of the stock market, especially in the long term
Keywords
Trading Technology, Stock Exchange, Zse
References
i. Aggarwal, R (2002). Demutualization and Corporate Governance of Stock Exchanges. Journal of Applied Corporate Finance. 15, 106-113.
ii. Akhtar, S. (2002). Demutualisation of Stock Exchanges: Problems, Solutions and Case studies. Asian Development Bank.
iii. Asewe, S., Mule, R., Ndichu, P., Aila, F. O., Okungu, A. E. O., Michoki, M. M., Onchonga, D. M., and Momanyi, G. (2013). Determining Automation Effects on Market Efficiency. European Scientific Journal. 9(31).
iv. Azzam, I. (2010). Stock Exchange Demutualization and Performance. Global finance Journal. 21(2). 211-222.
v. Battalio. M. (2003). All else equal? A Multi-dimensional Analysis of Retail Market Order Execution Quality. Journal of Financial Markets. 6,143-162.
vi. Baker, M. (2005). The Stock Market and Investment: Evidence from FDI Flows. Journal of Economic Literature. G31, 1-25.
vii. Bias, B. (2005). Market Microstructure: A Survey of Micro foundations, Empirical Results, and Policy Implications. Journal of Financial Markets. 8(2), 217-250.
viii. Brailsford, T. J., Frino, A., Hodgson, A., and West, A. (2000). Stock Market Automation and the Transmission of Information Between Spot and Futures Markets. Journal of Multinational Financial Management. 9, 247-264.
ix. Derrabi, M. (1998). Changement de microstructure et comportement des prix des actifs financiers: cas d’un marché émergent. Working Paper, AFFI Conference, Paris.
x. Freund, W.C. and Pagano, M.S. (2000). Market Efficiency in Specialist Markets Before and After Automation. The Financial Review. 35, 79-104.
xi. Hendershott, T. and Moulton, P. (2011). Automation, Speed and Stock Market Quality: The NYSE's Hybrid. Journal of Financial Markets. 14, 568-604.
xii. Jain, P. (2005). Financial Market Design and the Equity Premium: Electronic Versus Floor Trading. Journal of Finance. 60, 2955-2985.
xiii. Jecheche, P. (2008). The Effect of the Stock Exchange on Economic Growth: A Case of Zimbabwe Stock Exchange. Research in Business and Economics Journal.
xiv. Levin, A., Lin, C. F., and Chu, C. (2002). Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties. Journal of Econometrics. 108, 1–25.
xv. Luka, M. (2011). Effect of Automation of the Trading System on Performance of the Nigerian Stock Exchange. International Journal of Marketing and Technology. 2, 12-21.
xvi. Madhavan, A. (2000). Market Microstructure: A survey. Journal of Financial Markets. 3, 205-258.
xvii. Malkiel, B. G. (2003). The Efficient Market Hypothesis and its Critics. The Journal of Economic Perspectives. 17(1), 59–82.
xviii. Malkiel, B. G. (2007). A Random Walk Down Wall Street: The Time-tested Strategy for Successful Investing. Norton and Company, Inc. New York.
xix. Mandelson, K. (2009). Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for the Money. Oxford Bulletin of Economics and Statistics. 52, 169-210.
xx. Mensah, J. T., and Pomaa-Berko, M. (2012). Does Automation Improve Stock Market Efficiency? Evidence from Ghana. Ghana.
xxi. Mpofu, S. (2011). Does the Zimbabwe Stock Exchange have Potential to Support Economic Growth during the Multicurrency System. ZEPARU Working Paper Series, ZWPS01/11.
xxii. Muli, M. (2008). Relationship between Electronic Trading and Stock Market Efficiency: A Case Study of the Nairobi Stock Exchange. Journal of Education and Social Sciences Research. 2.
xxiii. Murinde, V. (2006). Capital Markets Roles and Challenges. Birmingham: University of Birmingharm.
xxiv. Muzamani, J. T. (1993). The Zimbabwe Stock Exchange. African Review of Money, Finance and Banking. 1, 75 – 85.
xxv. Naidu, G.N., and Rozeff, M. S. (1994). Volume, Volatility, Liquidity and Efficiency of the Singapore Stock Exchange Before and After Automation. Pacific-Basin Finance Journal. 2(1), 23-42.
xxvi. Okumu, N.A. (2013). Impact of Microstructure Changes on Market Efficiency at the NSE. Unpublished MBA Dissertation, Kenyatta University.
xxvii. Otchere, I. (2008). Stock Exchange Self-listing and Value Effects. Journal of Corporate Finance. 2. 926-953.
xxviii. Otuke, M. (2006). Spurious Regression and Residual-based Tests for Cointegration in Panel Data. Journal of Econometrics. 90, 1–44.
xxix. Pindula. (2017). Zimbabwe Stock Exchange. Pindula. Zimbabwe.
xxx. Shavelson, J. R. (2003). The Role of Design in Educational. Journal of American Educational Research. 32(1), 25-28.
xxxi. Smith, G. (2008). Liquidity and the Informational Efficiency of African Stock Markets. South African Journal of Economics. 76(2). 161–175.
xxxii. Stoll, S. (2006). Electronic Trading in Stock Markets. Journal of Economic Perspectives. 20(1), 153-174.
xxxiii. Tendulkar, R. and Naacke, G. (2013). Cyber-crime, securities markets and systemic risk. IOSCO Staff Working Paper, SWP1, pp.35-57.
xxxiv. Theissen, E. (2005). Floor Versus Screen Trading: Evidence from the German Stock Market. Journal of Institutional and Theoretical Economics. 158(1), 32-54.
xxxv. Yartey, C. A., and Adjasi, C. K. (2007). Stock Market Development in Sub-Sahara Africa: Critical Issues and Challenges. IMF Working Paper No: 07/209.
Cite this Article: