This study examines the effects of technological changes on selected stock market qualities such as liquidity, turnover and volatility. The data set includes daily data of 361 stocks from 10 emerging market exchanges, namely Colombia, Indonesia, Johannesburg, Korea, Malaysia, Mexico, Russia,...

This study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus. The analysis utilises 150 m tick-by-tick...

This research link market microstructure with efficiency. Liquidity and volatility are linked with time-varying informational efficiency of the Asian emerging economies. Three measures are used for each variable. Using SGMM, this study finds that both variables have significant role in driving...

Interest in the Latin American emerging markets (LAEM) has increased considerably in recent years. It is often claimed that they have to pay a price for being too different from developed markets, i.e. for having weak institutions, failed macroeconomic programs, political instability, poor...

The emphasis of this book is on understanding special characteristics of the financial systems of emerging markets, where the existence of market imperfections such as asymmetric information, adverse selection and moral hazard can cause financial market failures. Considering the Thai stock...