The Effects of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market

This paper examines the effects of automation on the liquidity, volatility, returns and efficiency of shares traded on the Tunisian stock exchange (TSE). By the end of 1996, stocks listed on the TSE were transferred gradually from manual trading to automated trading. The TSE operates a continuous market for frequently traded securities and a 'call-auction’ for infrequently traded securities. While our results show an improvement in the liquidity of shares following the automation, returns decreased and no significant effects on volatility or efficiency were detected.