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\title{Microstructure Change and the Effective Trading System: The Nigerian Experience}
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             \author[1]{Dr. Kehinde James  Sunday}

             \affil[1]{  Lagos State University}

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\date{\small \em Received: 20 April 2012 Accepted: 14 May 2012 Published: 28 May 2012}

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\begin{abstract}
        


The Nigerian stock market have operated using the call-over system since inception, however, the call over system of trading was effective in handling the for few market transaction of the time. The emergence of a large trading facility as a result of the privatisation and the commercialisation of the hitherto government stock made the system feeble and unable to handle large transaction in the market, thus, necessitating the macrostructure change to the Automated Trading System (ATS) in 1999. Survey method using structured questionnaire was adopted for the study. It was revealed that the ATS was an effective trading system. The system brings about an efficient settlement system and foster new trading opportunities. It was recommended that to reduce human interference in the market further internationalisation of the market should be encouraged.

\end{abstract}


\keywords{Automated Trading System, microstructure, stock market.}

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\let\tabcellsep& 	 	 		 
\section[{Introduction}]{Introduction}\par
he trading system in the Nigeria capital market over decades have been done using the call-over or the manual system of trading with it attendant problem of low trading pattern and the system slow transaction system the completion of transaction was also very slow and the system can only handle few activities the call-over system was adjudged to be efficient to the extent of it installed capacity but in the instance of internalisation growth and high liquid market the call over become weak this necessitate the introduction of the automated trading system which in effect bring about a microstructure change in the stock market. The purpose of any microstructure change is to enhance growth in the stock market, to improve the trading system and to improve on the liquidity of the market  {\ref (murinde, 2006)}. The objective of this study therefore is to evaluate the effect of the microstructure change (from manual trading system to the automated trading system) on the trading effectiveness in the Nigerian stock market from 1999 to 2011. the question is do microstructure change in the stock of any value in the growth and effective trading system in the stock market.\par
Author ? : PhD, Lagos State University, Faculty of management sciences, Dept of accounting and finance. E-mail : pastorkehindebox@yahoo.com Author ? : PhD, Lagos State University, Faculty of management sciences, Dept of accounting and finance. \hyperref[b4]{Murinde (2006)} proposes a theoretical microstructure characteristic model for analyzing institutional changes in the stock market, like the change from the manual trading system to the automated trading system which, is the focus of this study.\par
The model is based on the importance of examining the micro structure characteristics for the periods before and after the reforms, the institutional changes basically, involved changes in trading system from the manual to the computerized system or the Automated Trading System. It also captures changes in regulation system and expansion in brokerage houses, theoretically different responses are expected in microstructure characteristics as a result of institutional reforms or changes. This could be theoretically summarized in the following table. Murinde (2006) theoretically expects efficient trading system to emanate from institutional reform (i.e changes from the manual trading system to electronic or the automated trading system). He also expects efficient pricing system or equitable stock pricing system. Moreover, he expects higher (or positive) market liquidity with institutional changes in the stock market.\par
Conceptually, \hyperref[b4]{Murinde (2006)} measured market turnover as responsiveness of market capitalization to changes in the number of quoted firms and volume of stock traded.\par
Furthermore he expects a significant positive relationship between stock market size and liquidity. To T a vast information exchange, which efficiently reduces transaction costs \hyperref[b1]{(Green, Maggioni and Murinde, 2000)}. \hyperref[b6]{Popovic(2004)}, states that the growth effect of the automated trading system can be measured by the market liquidity and stock turnover. Market liquidity measures the ease of trade. Stock Market turnover measures the speed and rate of trade. \hyperref[b2]{Hudak (2005)} theoretically opines that the Automated Trading System will enhance automated decision process, discipline, higher consistency in trade result, and automated monitor of trends. He further posits that the automated trading system may not work perfectly using historical data. This is because historical data produce prices of stock based on past events and trading activity. However, daily price is a function of current market impulse. The buy and sell signals may not be realized due to some other reasons (such as low liquidity, viability etc).To realize the trade, difference in the ATS signalled price and the available realistic information about the firm must move trade in some direction, that is, either up or down. \hyperref[b2]{Hudak (2005)} is of the opinion that an inefficient stock market exists where ATS signal price and the realistic information about the firm are not positively correlated. He argued that an efficient Stock market is that market in which every security (Stock) price equals to its investment value. (i.e. NPV(Net Present Value) of Stock =IV (investment value of stock) at all times \hyperref[b2]{(Hudak 2005} {\ref , Davis Raul 2006} {\ref , Kulikowski,2006} {\ref and Ricker, 2006)}.\par
The foregoing relationship can also be implied by the 'fishers separation theorem' which states that the marginal rate of return on investment (stock) equals the market rate (market price of stock) at equilibrium (this implies an efficient market position \hyperref[b4]{(Murinde, 2006)}.\par
The stock exchange of Mauritius (2004) has identified the operational advantages derivable from the application of the automated trading system (ATS) which includes electronic matching of orders, internet trading facilities, enhancing internationalization of the stock market. Others are multiple prices for an order, quick order execution prices and volume levels available in real time. Also included are improved market data or information, online report of prices, higher volume of trade and index, online corporate reporting, transparency of dealings and fairness in establishing order priority. Conceptually, the automated trading system will also ensure automatic monitor and friendly stock market.\par
The shift in the trading system from a call-over to an automated trading system is expected to increase market liquidity and enhance transparency, thus reducing micro structure costs and volatility (Pageno and Roell, 1996). \hyperref[b4]{Murinde (2006)} conducted a study on micro structure theory of the African capital markets in 1999 and discovered that with institutional changes market efficiency improved in NSE (Nigerian Stock Exchange), NSC (Nairobi stock exchange) , JSE (Johannesburg stock exchange) and market liquidity also improved, while volatility reduced.\par
This research is aimed at studying the effects of micro structure characteristics on the institutional change in the Nigerian stock exchange. These microstructure characteristics include market liquidity and market efficiency. The work also studies market turnover, and equitable stock pricing as \hyperref[b5]{Oladejo(1999)} contends that with institutional changes (for example from call-over system to automated trading system) efficient market system and equitable stock pricing should be attained. 
\section[{II.}]{II.} 
\section[{Research Method}]{Research Method}\par
The study made use of the survey techniques as most of the variables were rather behavioural; hence, a structured questionnaire was used having twelve related questions to the effectiveness of the microstructure change to the Automated Trading System in the stock market. Tree hundred of this questionnaire was distributed of which two hundred and fifty were collected and only two hundred and twenty five were usable. The questionnaire were distributed to various market players which include brokers, registrars, investors, market analyst, and accountants in the market using the judgmental sampling techniques since the total populations of the market players cannot be determined. The chi-square method of analysis was equally adopted for the analysis. 
\section[{List and key to variables used A1:}]{List and key to variables used A1:}\par
Effectiveness of the ATS over call-cover system. A2:\par
Effectiveness of the ATS in the internationalization of the Nigerian capital market. A3:\par
Effectiveness of the ATS in equitable allocation of share in the stock market. A4:\par
Effectiveness of the ATS over human manipulation or factor A5:\par
Effectiveness of the ATS in enhancing transparency of the stock market. A6:\par
Effectiveness of the ATS on improvement to the settlement system reducing delivery time. A7:\par
Effectiveness of the ATS on improved quality of brokerage services in stock market. A8:\par
Effectiveness of the ATS in continuous trading system in the stock market. A9: effectiveness of the ATS on surveillance system in the stock market. A10:\par
Effectiveness of the ATS in generating new trading opportunities in the stock market. A11:\par
Effectiveness of the ATS in encouraging merging account between lenders, and their clients. A12:\par
Effectiveness of the ATS in enhancing lending. The mean ranking in table2 revealed the effect of the microstructure change on the effectiveness of the Trading System in the stock market. Generally, most of the variables were averagely agreed on by the respondents (i.e. market participants). It can be seen from table1 that the microstructure change (to Automated Trading System) provoke effective and efficient trading system than the call over system (A1 = 5.37) A1 is most agreed, while the automated trading system (ATS) is effectively free of all human manipulation (A13, mean = 4.05) was least agreed, it was a very low extent variables. Table \hyperref[tab_1]{2} also show that the Automated Trading System has brought great improvement to the settlement system reducing delivery time (A6), the ATS is also shown to be effective in the internationalization of the Nigerian stock market (A2), Also the study shows that the ATS has brought about effective surveillance system in the stock market (A9) It also revealed that the ATS fosters efficiency and transparency of the stock market (A5) As their mean were almost in the same range with the ATS considered a more efficient trading system than the call over system (A1) \hyperref[b5]{Oladejo(1999)} noted that the use of computer assisted markets surveillance techniques, and the ability of the Automated Trading System to provide accurate audit of all transactions greatly facilitate the increasing demands for all stocks in the exchange and ensure integrity of the market operation. Also, the design of the ATS had taken into account, the need for optimum flexibility to allow the exchange surveillance unit to be proactive in ensuring integrity of the markets. The Automated Trading System is not effectively free of all human manipulation because, just as Ojo(2000) said, there is no difference between pricing of securities in the call over trading system and the ATS. The microstructure change efficiency theory by \hyperref[b4]{Murinde(2006)} is justified here with most of the variable having average mean (i.e. mean > 0.5) therefore; there exist efficient stock market with introduction of the ATS. Thus the micro structure variable of efficiently is positive (+). IV. Interpretation And Discussion Of Findings 
\section[{III. Test Of Hypothesis One Using Chi-Square}]{III. Test Of Hypothesis One Using Chi-Square}\par
Since the X2 calculated values in all the questions asked is greater than X2 critical value of 11.07 at 0.05 significant levels. Also using the Friedman chi-square which produced X2 calculated value of 185.873 which is also greater than x2 critical value of 11.07 at 0.05 significant levels, the alternative hypothesis is accepted and the null hypothesis rejected. Thus, it therefore means that the introduction of the ATS to the Nigerian stock bring about effectiveness of the trading system. To a large extent, this findings further confirmed the assertion of \hyperref[b5]{Oladejo(1999)} and \hyperref[b4]{Murinde(2006)}.\par
V. 
\section[{Conclusion and Recommendation}]{Conclusion and Recommendation}\par
The following are the conclusions that could be drawn from this study.\par
The ATS is an effective trading mechanism but has been grossly underutilized.\par
The activities of strong individuals and institutional investors have not allowed for equitable Stock Pricing System. It is also revealing that an efficient settlement system and effective surveillance service were achieved with the introduction of the ATS.\par
The ATS has been subjected to human manipulation hence making the system biased. It was discovered from the study that the information content of the stock price is low ,that is, most stock price or value traded at the Nigerian Stock Exchange were not truly reflective of the intrinsic (internal)information about the firm this supports the assertion of \hyperref[b4]{Murinde (2006)} that in some African countries (e.g. in Zimbabwe) institutional change have not improved intrinsic informational content of the price of Stock traded. It is recommended that the system should encourage true transparency by eliminating human manipulation of the system, this, can be attained by expanding the scope of trading to regional and international boundaries.\begin{figure}[htbp]
\noindent\textbf{1} \par 
\begin{longtable}{P{0.6421052631578946\textwidth}P{0.08421052631578947\textwidth}P{0.057894736842105256\textwidth}P{0.06578947368421052\textwidth}}
\tabcellsep market\tabcellsep \tabcellsep \\
\tabcellsep Efficiency\tabcellsep Volatility\tabcellsep Liquidity\\
1. changes in trading\tabcellsep \tabcellsep \tabcellsep \\
system\tabcellsep \tabcellsep \tabcellsep \\
(a) call to open outcry\tabcellsep high\tabcellsep low\tabcellsep high\\
floor trading\tabcellsep \tabcellsep \tabcellsep \\
(b)call auction to\tabcellsep high\tabcellsep low\tabcellsep high\\
continuous trading\tabcellsep \tabcellsep \tabcellsep \\
(i.e automated\tabcellsep \tabcellsep \tabcellsep \\
trading)\tabcellsep \tabcellsep \tabcellsep \\
2. Establishment of\tabcellsep high\tabcellsep low\tabcellsep high\\
market regulation\tabcellsep \tabcellsep \tabcellsep \\
3. Entry of foreign\tabcellsep high\tabcellsep low\tabcellsep high\\
investors\tabcellsep \tabcellsep \tabcellsep \\
\multicolumn{4}{l}{Source : Murinde(2006) Capital market; Roles and}\\
challenges.\tabcellsep \tabcellsep \tabcellsep \end{longtable} \par
 
\caption{\label{tab_0}Table 1 :}\end{figure}
 \begin{figure}[htbp]
\noindent\textbf{2} \par 
\begin{longtable}{P{0.717016129032258\textwidth}P{0.1028225806451613\textwidth}P{0.030161290322580643\textwidth}}
\tabcellsep Mean\tabcellsep Ranking\\
A1 (effective trading system\tabcellsep 5.5955\tabcellsep 1\\
A6 (effective settlement system)\tabcellsep 5.3955\tabcellsep 2\\
A2 (effective internationalization)\tabcellsep 5.2455\tabcellsep 3\\
A9 (Effectiveness of the ATS in\tabcellsep 5.0818\tabcellsep 4\\
enhancing effective surveillance\tabcellsep \tabcellsep \\
service)\tabcellsep \tabcellsep \\
A5 (stock market transparency)\tabcellsep 5.0636\tabcellsep 5\\
A 7 (Average brokerage system)\tabcellsep 4.9955\tabcellsep 6\\
A3 (equitable allocation system)\tabcellsep 4.9045\tabcellsep 7\\
A8 (Effectiveness of the ATS in\tabcellsep 4.7636\tabcellsep 8\\
enhancing continuous trading\tabcellsep \tabcellsep \\
system\tabcellsep \tabcellsep \\
A10 (new trading opportunities)\tabcellsep 4.6636\tabcellsep 9\\
A12 (it does not enhance lending)\tabcellsep 4.6318\tabcellsep 10\\
A11 (merging account is not\tabcellsep 4.600\tabcellsep 11\\
encourage)\tabcellsep \tabcellsep \\
A4 (it has not stop human\tabcellsep 4.0591\tabcellsep 12\\
manipulation)\tabcellsep \tabcellsep \\
\multicolumn{2}{l}{Source: Field survey analysis (2012)}\tabcellsep \\
a) Descriptive Statistics\tabcellsep \tabcellsep \end{longtable} \par
 
\caption{\label{tab_1}Table 2 :}\end{figure}
 \begin{figure}[htbp]
\noindent\textbf{3} \par 
\begin{longtable}{P{0.02910958904109589\textwidth}P{0.040753424657534246\textwidth}P{0.04269406392694063\textwidth}P{0.14554794520547945\textwidth}P{0.04463470319634703\textwidth}P{0.03881278538812785\textwidth}P{0.052397260273972596\textwidth}P{0.011643835616438355\textwidth}P{0.1300228310502283\textwidth}P{0.13972602739726026\textwidth}P{0.027168949771689495\textwidth}P{0.07180365296803652\textwidth}P{0.07568493150684931\textwidth}}
\tabcellsep \tabcellsep \tabcellsep \multicolumn{8}{l}{The effectiveness of the ATS on the Nigerian Stock Market}\tabcellsep \\
\tabcellsep NEA\tabcellsep VLE\tabcellsep LE\tabcellsep AVT\tabcellsep HET\tabcellsep VHE\tabcellsep TOTAlL\tabcellsep X 2 Cal\tabcellsep X 2 Crt 0.05\tabcellsep df\tabcellsep P\tabcellsep Decision Accept\\
1\tabcellsep 12\tabcellsep 8\tabcellsep 5\tabcellsep 11\tabcellsep 12\tabcellsep 52\tabcellsep \tabcellsep 92.12\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
2\tabcellsep 18\tabcellsep 7\tabcellsep 11\tabcellsep 5\tabcellsep 54\tabcellsep 54\tabcellsep \tabcellsep 107.6\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
3\tabcellsep 7\tabcellsep 24\tabcellsep 19\tabcellsep 15\tabcellsep 6\tabcellsep 29\tabcellsep \tabcellsep 25.28\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
4\tabcellsep 9\tabcellsep 26\tabcellsep 5\tabcellsep 16\tabcellsep 6\tabcellsep 38\tabcellsep \tabcellsep 51.08\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
5\tabcellsep 14\tabcellsep 23\tabcellsep 10\tabcellsep 15\tabcellsep 10\tabcellsep 28\tabcellsep \tabcellsep 16.04\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
6\tabcellsep 8\tabcellsep 9\tabcellsep 8\tabcellsep 18\tabcellsep 10\tabcellsep 47\tabcellsep \tabcellsep 70.52\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
7\tabcellsep 6\tabcellsep 7\tabcellsep 6\tabcellsep 30\tabcellsep 7\tabcellsep 44\tabcellsep \tabcellsep 80.36\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
8\tabcellsep 4\tabcellsep 19\tabcellsep 9\tabcellsep 10\tabcellsep 7\tabcellsep 51\tabcellsep \tabcellsep 92.48\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
9\tabcellsep 16\tabcellsep 19\tabcellsep 5\tabcellsep 6\tabcellsep 7\tabcellsep 47\tabcellsep \tabcellsep 76.016\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
10\tabcellsep 15\tabcellsep 24\tabcellsep 11\tabcellsep 9\tabcellsep 8\tabcellsep 33\tabcellsep \tabcellsep 29.36\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
11\tabcellsep 13\tabcellsep 18\tabcellsep 8\tabcellsep 8\tabcellsep 5\tabcellsep 48\tabcellsep \tabcellsep 77.0\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\\
12\tabcellsep 1\tabcellsep 2\tabcellsep 6\tabcellsep 32\tabcellsep 14\tabcellsep 45\tabcellsep \tabcellsep 97.16\tabcellsep 11.07\tabcellsep 5\tabcellsep 0.0\tabcellsep H1\end{longtable} \par
  {\small\itshape [Note: Source: Field survey analysis(2012)   ]} 
\caption{\label{tab_2}Table 3 :}\end{figure}
 			\footnote{Global Journal of Management and Business Research Volume XII Issue X Version I} 			\footnote{June © 2012 Global Journals Inc. (US) ensure market efficiency, the stock market must provide Kehinde James Sunday ? , Ishmael Omah ? \& Moruf Oladimeji ? Author ? : Msc Lagos State University, Faculty of management sciences.} 			\footnote{Microstructure Change and the Effective Trading System: The Nigerian Experience} 			\footnote{June© 2012 Global Journals Inc. (US)} 		 		\backmatter  			  				\begin{bibitemlist}{1}
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\end{document}