Al-Haji, Ahmad (2012) IMPLICATIONS OF TRADE AUTOMATION FOR SMALL-SIZE STOCKS. Masters thesis, Concordia University.
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Abstract
Using a comprehensive set of liquidity measures, this study examines the impact of the NYSE Hybrid Market on various stock characteristics. In addition, we test the conjecture that trade automation results in more pronounced liquidity improvements for small stocks. The resulting change in the relationship between size and liquidity is also examined, as well as the change in the explanatory power of the SMB factor. We find evidence that the general state of liquidity improved subsequent to migration to Hybrid. However, results for the size-conditioned test are mixed and inconsistent across liquidity measures. While liquidity improvements in terms of amortized spreads are concentrated in small stocks, the pattern is less obvious when other liquidity measures are considered. Also, while the test involves a NYSE event, changes also exist in NASDAQ, probably due to a competitive spill-over effect. We find that the relationship between size and liquidity characteristics has changed post-Hybrid, particularly on NYSE, and that the SMB factor has less effect on asset pricing when the entire CRSP sample is tested but not for the NYSE and NASDAQ subsamples individually. Nevertheless, firm size seems to play an important role in differentiating the impact of changes in market design.
| Divisions: | Concordia University > John Molson School of Business > Finance |
|---|---|
| Item Type: | Thesis (Masters) |
| Authors: | Al-Haji, Ahmad |
| Institution: | Concordia University |
| Degree Name: | M. Sc. |
| Program: | Administration (Finance option) |
| Date: | 18 July 2012 |
| Thesis Supervisor(s): | Kryzanowski, Lawrence |
| Keywords: | Trade Automation, Liquidity, Hybrid System |
| ID Code: | 977259 |
| Deposited By: | AHMAD AL-HAJI |
| Deposited On: | 12 Jun 2013 15:45 |
| Last Modified: | 18 Jan 2018 17:44 |
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