The Impact Of The Introduction of The Automated Trading System On The Nigerian Stock Market

Abstract

This paper investigates the impact of the introduction of the Automated Trading System (ATS) on the quoted stock prices on the Nigerian stock market. Using monthly data over the period, December 1986 to December 2006, residual analysis methodology was used to investigate stock price reaction to the introduction of the ATS on the Nigerian stock market. The results show that the introduction of the ATS has a negative impact on quoted securities on the Nigerian stock market. The result further shows that negative abnormal returns could be earned on the Nigerian stock market after the introduction of the ATS. A negative abnormal return implies positive abnormal return for a trader tak-ing a short position in securities. The results are unaffected by the choice of model. This lends support for the work of Olowe (1998) that the Nigerian stock is inefficient in the semi strong form.

Keywords: Event Studies, Electronic Trading, Information Technology.