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Speed of Convergence to Market Efficiency: Example of Top loser Stocks

Year 2013, Volume: 3 Issue: 3, 591 - 601, 01.09.2013

Han-Ching Huang Yong-Chern Su Chun-Chi Shih

https://izlik.org/JA52HX34SP

Abstract

This study investigates the convergence process toward efficiency of daily top losers. We find that significance of order imbalance coefficients decreases with increasing time interval, indicating evidences on convergence to market efficiency. A time-varying GARCH model is employed to examine the relation between order imbalance and volatility. The significance of order imbalance coefficients shows a decay pattern, which also supports convergence to market efficiency. We develop an imbalance-based trading strategy and can not make profits from these daily top losers under bid/ask price. A nested causality approach, which examines dynamic return-order imbalance relation during price formation process, confirms the results.

Keywords

Market efficiency order imbalance top losers volatility

Year 2013, Volume: 3 Issue: 3, 591 - 601, 01.09.2013

Han-Ching Huang Yong-Chern Su Chun-Chi Shih

https://izlik.org/JA52HX34SP

Abstract

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Details

Other ID JA53MM38HC
Authors

Han-Ching Huang This is me

Yong-Chern Su This is me

Chun-Chi Shih This is me

Publication Date September 1, 2013
IZ https://izlik.org/JA52HX34SP
Published in Issue Year 2013 Volume: 3 Issue: 3

Cite

APA Huang, H.-C., Su, Y.-C., & Shih, C.-C. (2013). Speed of Convergence to Market Efficiency: Example of Top loser Stocks. International Journal of Economics and Financial Issues, 3(3), 591-601. https://izlik.org/JA52HX34SP
AMA 1.Huang HC, Su YC, Shih CC. Speed of Convergence to Market Efficiency: Example of Top loser Stocks. IJEFI. 2013;3(3):591-601. https://izlik.org/JA52HX34SP
Chicago Huang, Han-Ching, Yong-Chern Su, and Chun-Chi Shih. 2013. “Speed of Convergence to Market Efficiency: Example of Top Loser Stocks”. International Journal of Economics and Financial Issues 3 (3): 591-601. https://izlik.org/JA52HX34SP.
EndNote Huang H-C, Su Y-C, Shih C-C (September 1, 2013) Speed of Convergence to Market Efficiency: Example of Top loser Stocks. International Journal of Economics and Financial Issues 3 3 591–601.
IEEE [1]H.-C. Huang, Y.-C. Su, and C.-C. Shih, “Speed of Convergence to Market Efficiency: Example of Top loser Stocks”, IJEFI, vol. 3, no. 3, pp. 591–601, Sept. 2013, [Online]. Available: https://izlik.org/JA52HX34SP
ISNAD Huang, Han-Ching - Su, Yong-Chern - Shih, Chun-Chi. “Speed of Convergence to Market Efficiency: Example of Top Loser Stocks”. International Journal of Economics and Financial Issues 3/3 (September 1, 2013): 591-601. https://izlik.org/JA52HX34SP.
JAMA 1.Huang H-C, Su Y-C, Shih C-C. Speed of Convergence to Market Efficiency: Example of Top loser Stocks. IJEFI. 2013;3:591–601.
MLA Huang, Han-Ching, et al. “Speed of Convergence to Market Efficiency: Example of Top Loser Stocks”. International Journal of Economics and Financial Issues, vol. 3, no. 3, Sept. 2013, pp. 591-0, https://izlik.org/JA52HX34SP.
Vancouver 1.Han-Ching Huang, Yong-Chern Su, Chun-Chi Shih. Speed of Convergence to Market Efficiency: Example of Top loser Stocks. IJEFI [Internet]. 2013 Sep. 1;3(3):591-60. Available from: https://izlik.org/JA52HX34SP