Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange
研究交易机制改进对股票价值的影响，发现特拉维夫证券交易所从每日集合竞价转为连续交易后，股价出现约5.5%的永久性上涨，且流动性改善与价格上升正相关。
This paper examines the value effects of improvements in the trading mechanism. Stocks on the Tel Aviv Stock Exchange were transferred gradually from a daily call auction to a mechanism where the call auction was followed by iterated continuous trading sessions. This event was associated with a positive and permanent price appreciation. The cumulative average market-adjusted return over a period that started five days prior to the announcement and ended 30 days after the stocks started trading by the new method was approximately 5.5%. In addition, we find positive liquidity externalities (spillovers) across related stocks, and improvements in the value discovery process due to the improved trading method. Finally, there was a positive association between liquidity gains and price appreciation. Our results suggest that improvements in market microstructure are valuable.