تاثیر پیشرفت های تکنولوژیکی بر بازارهای مالی در حال توسعه: مورد بورس اوراق بهادار ژوهانسبورگ
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|13071||2013||10 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Review of Development Finance, Volume 3, Issue 4, July–December 2013, Pages 204–213
Can a significant technological improvement make an economically justifiable contribution to a financial market's development? The Johannesburg Stock Exchange (JSE) incorporated the SETS system from the London Stock Exchange in 2002. It is certain that SETS is a technologically efficient trading system, and it would undoubtedly improve trading in the JSE. We test whether SETS represents a structural break by examining whether there was an increase in the JSE's liquidity, market efficiency and international integration after the introduction of SETS. While SETS is certainly a technological improvement with increased liquidity, it is not a sufficient factor to render it efficient. After the incorporation of SETS, the JSE has become more independent and it now offers better diversification opportunities for international investors.
The mood was certainly buoyant at a celebratory dinner on 17 May 2002, where South African President Thabo Mbeki gushed about the Johannesburg Stock Exchange's (JSE) new partnership with the London Stock Exchange (LSE). The partnership entailed the incorporation of the LSE's SETS trading platform by the JSE. In obligatory political fashion, Mbeki proclaimed that the new trading platform, will add the necessary impetus in our work of reconstructing and developing not only our country but the entire continent of Africa [by encouraging investment]. Strategic partnerships with a number of globally prominent companies [such as the one with LSE] have had the simultaneous impact of exposing the South African capital markets sector to the rest of the world, bringing world-class services and infrastructure to the JSE and entrenching the JSE in the mind of the international investor as the gateway into the African market (Mbeki, 2002). The development of financial markets is important in facilitating economic development. For countries where access to capital is of the utmost importance, financial markets play a crucial intermediary role between savings and investment. If domestic and international banks are unable or unwilling to invest in such economies, capital can become scarce and prohibitively costly. When developing countries try to develop their financial markets, five issues arise. (1) Protecting investors seems to be an a priori prerequisite for financial development (i.e. La Porta et al., 1998 and La Porta et al., 2000). (2) If the investment choice offers no diversification benefits, then there is limited reason for international investors to consider investing. If the major markets are the main drivers of returns, then the developing market does not offer a unique investment opportunity. While the return to risk ratio might be appealing, the market's contribution toward diversifying a portfolio would be minimal. (3) Questionable market efficiency hampers the market's development (Liu, 2010). There will be limited interest in the market by foreign investors if information is unavailable or asymmetric, or returns are predictable or manipulatable. More importantly, there will be limited interest by local companies to be listed due to the associated inefficiency risks. (4) A lack of liquidity will hamper the development efforts. Institutional investment in emerging markets may be conditional on the availability of liquidity (Chuhan, 1992). Bekaert et al. (2007) show that liquidity is a priced risk and part of the expected return model. Finally, (5) a lack of trading activity (i.e. volume) implies a lack of interest in the market. With the diminishing interest, the expectation for market development will fade away. In terms of financial market structure, the JSE's adoption of SETS is a milestone for the JSE. SETS is a system used by the London Stock Exchange. Thus, its adoption should alleviate the five issues listed above for the development of the JSE and therefore for the development of the South African economy overall. (1) The anonymity of trades and traders allows higher investor protection. Institutions can trade without revealing their information, and individuals can trade without revealing their identity. (2) With a system that can accommodate a high number of listed companies, there will be more local companies listed. With diverse listed companies, unique opportunities for international investors will be offered by the JSE. (3) While SETS has a limited impact on the informational aspect of market efficiency, a system that can accommodate high transaction speeds, high number of market participants, and high volumes will increase market efficiency. (4) Having more investors and faster trades will provide liquidity (cheaper trades). Competition between investors will increase liquidity and lower the transaction costs. It will also allow for the emergence of market makers who in turn will provide liquidity. (5) A higher number of listed companies, investors, faster trades and cheaper trades will increase trading activity (volume). In the present study, we examine the impact of SETS on the statistical properties of the JSE – in terms of returns, liquidity, and efficiency. Are returns in the JSE correlated with those in markets of more developed countries? In other words, is the JSE a good source of diversification? Are there inefficiencies in the South African exchange that could perhaps account for why even more capital does not find its way to Johannesburg? And just as importantly, has the incorporation of a more efficient trading platform paid off in terms of increased market efficiency and liquidity? The paper is structured as follows. First, we explain why the JSE is of interest as a case study on market efficiency and development. We describe the institutional evolution of the JSE, pointing to a likely structural break in 2002. We follow this by reviewing the earlier empirical research on the JSE's efficiency, potential for diversification, and structural breaks. Then, we perform several comparison-of-means tests of returns, liquidity, and volume. We also test for structural breaks of the predictability of returns (a test of market efficiency) and international integration. We conclude with a discussion of the implications of our study on equity markets in other developing countries.
نتیجه گیری انگلیسی
The adoption of the SETS trading platform was supposed to represent a watershed moment in the history of the Johannesburg Stock Exchange. The JSE is more liquid after SETS. The JSE has nearly doubled its trading activity (volume), trading is cheaper, and there are more trades at JSE after SETS. Overall, average daily returns are higher. We posit that this is mainly because the returns are increased to the levels demanded for the associated risk. With the new trading platform, it would also be expected that there would be improvements in market efficiency. Higher numbers of investors, more listed companies, faster trading and more trade (evidenced with trading activity and liquidity), all would imply more market efficiency. Contrary to our expectations, however, market-wide and individual-level stock returns are still somewhat predictable; this is a clear violation of market efficiency. Another expected improvement of SETS would be that the JSE would offer unique opportunities to investors with the wider investment opportunity set. This is mainly because of the expectation that more local companies would list with the JSE due to lower trading costs (higher liquidity) and higher market participation. As expected, the JSE became more independent after the incorporation of SETS. It now offers better diversification opportunities for international investors.