TY  - JOUR
TT  - Speed of Convergence to Market Efficiency: Example of Top loser Stocks
AU  - Huang, Han-Ching
AU  - Su, Yong-Chern
AU  - Shih, Chun-Chi
PY  - 2013
DA  - September
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 591
EP  - 601
VL  - 3
IS  - 3
KW  - Market efficiency
KW  - order imbalance
KW  - top losers
KW  - volatility
N2  - 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.
UR  - http://dergipark.org.tr/tr/pub/ijefi/issue//351938
L1  - http://dergipark.org.tr/tr/download/article-file/362799
ER  -