EN
Speed of Convergence to Market Efficiency: Example of Top loser Stocks
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
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
September 1, 2013
Submission Date
September 1, 2013
Acceptance Date
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Published in Issue
Year 2013 Volume: 3 Number: 3
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