IDEAS home Printed from https://ideas.repec.org/a/eee/riibaf/v70y2024ipas0275531924001405.html
   My bibliography  Save this article

Does market microstructure affect time-varying efficiency? Evidence from emerging markets

Author

Listed:
  • Said, Bahrawar
  • Raza, Muhammad Wajid
  • Elshahat, Ahmed

Abstract

This study advances beyond the conventional singular factor analysis and considers multiple market microstructure components to investigate time varying informational efficiency. This holistic approach deepens the comprehension of the intricate interplay among diverse microstructure facets. This study employs the System Generalized Method of Moments (SGMM) model to mitigate potential endogeneity pitfalls. The dataset comprises firm-level data from five emerging markets, for the period 2001–2020. After controlling for a battery of macroeconomic factors and idiosyncratic risk, this study finds that liquidity, volatility, thin trading, and trading cost are the key determinants of time varying efficiency. In comparison anonymous trading, tick size, and automation are not found to have a significant influence. The results are robust for an alternative choice of sample periods and alternative estimation methods. Individual and institutional investors should consider market microstructure components while designing asset allocation strategies.

Suggested Citation

  • Said, Bahrawar & Raza, Muhammad Wajid & Elshahat, Ahmed, 2024. "Does market microstructure affect time-varying efficiency? Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 70(PA).
  • Handle: RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001405
    DOI: 10.1016/j.ribaf.2024.102347
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0275531924001405
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.ribaf.2024.102347?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001405. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ribaf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.