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

This paper studies the impact of Tunis stock exchange automation on liquidity, volatility and stock price behavior. By the end of 1996, securities listed on the Tunis stock exchange were transferred gradually from a manual trading system to an automated trading, in continuous for the most liquid values and by fixing for the least liquid values. Examination of 20 securities shows an improvement of stock’s liquidity. In addition, the transfer was associated with negative abnormal returns but no clear effect has been observed on volatility and pricing error.