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The impact of electronic trading on the volatility of stock returns - An Empirical Study in the Iraqi market for securities | ||
| THE IRAQI MAGAZINE FOR ADMINISTRATIVE SCIENCES | ||
| Article 6, Volume 7, Issue 27, 2011, Pages 190-214 PDF (0 K) | ||
| Author | ||
| ali jeran abid ali | ||
| Abstract | ||
| In this study, we use generalized autoregressive conditional hetroskedasticity (GARCH) methodology to examine the effect of electronic trading (ET) on the volatility of stock returns in Iraq stock exchange (ISE) . By using daily data of general stock price index starting from Jan., 9, 2009 and ends on July 30 , 2009, we examined the relevancy of the ET in explaining the time – varying volatility of stock returns , and study the change in volatility before and after the ET. We find that the ET has an impact on price changes , which suggests that more information being transmitted to the market as a result of the ET. In addition , the information is impounded more quickly due the applying of ET. | ||
| Keywords | ||
| The impact of electronic trading Volatility of stock returns The Iraqi market for securities | ||
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