کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960487 | 929478 | 2008 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Liquidity and market efficiency
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal regime than in other ones. These findings indicate that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Further, as the tick size decreased, open-close/close-open return variance ratios increased, while return autocorrelations decreased. This suggests an increased incorporation of private information into prices during more liquid regimes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 87, Issue 2, February 2008, Pages 249–268
Journal: Journal of Financial Economics - Volume 87, Issue 2, February 2008, Pages 249–268
نویسندگان
Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam,