The central idea of market microstructure changes is to gain market efficiency. Since 1990, Bursa Malaysia has made various changes to the market microstructure, including the introduction of computerized trading, a central depository system, and efficient clearing and settlement systems. This study determines whether market microstructure changes affect market efficiency using the time to equilibrium (TTE) estimator as the main investigative tool. The findings of this study provide some evidence that the market microstructure changes implemented by the Bursa Malaysia reduced the time to equilibrium for all information from 14 days in 1993 to nine days in 2001. The findings presented in this study also reveal that the prices of stocks traded in Bursa Malaysia generally underreact for the first nine days from the day the announcement is made publicly available.  Source: International Research Journal of Finance & Economics; 2006 Issue 6, p31-48, 18p.  Authors: Sinnakkannu, Jothee & Nassir, Annuar Md.