Does automation improve stock market efficiency in Ghana?

The automation of the Ghana Stock Exchange (GSE) in 2008, among other reforms, was expected to improve the efficiency of the market. The extent of this truism has, however, not been empirically established for the GSE. In this study, we attempt to assess the impact of the automation on the efficiency of the GSE within the framework of the weak-form Efficient Market Hypothesis (EMH) based on the before and after approach. The study was done both at the aggregate and micro-level. The aggregate result showed that automation of the exchange did not improve the overall efficiency of the exchange. However, there is evidence that the number of market participants involved in the exchange has increased in the post-automation era. The results of the impact of the automation on the efficiency of the microstructure are, however, mixed. Generally, the rejection of the null hypothesis under homoscedasticity was found to be robust to heteroscedasticity for some firms, but the reverse was the case for other firms. This implies that the rejection of the null hypothesis under homoscedasticity is due to both heteroscedasticity and serial correlation. Based on the findings, a mix of strategies aimed at improving the efficiency of the exchange are recommended.