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

Yıl 2013, Cilt: 3 Sayı: 3, 591 - 601, 01.09.2013

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

https://izlik.org/JA52HX34SP

Öz

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.

Anahtar Kelimeler

Market efficiency order imbalance top losers volatility

Yıl 2013, Cilt: 3 Sayı: 3, 591 - 601, 01.09.2013

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

https://izlik.org/JA52HX34SP

Öz

Toplam 0 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA53MM38HC
Yazarlar

Han-Ching Huang Bu kişi benim

Yong-Chern Su Bu kişi benim

Chun-Chi Shih Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2013
IZ https://izlik.org/JA52HX34SP
Yayımlandığı Sayı Yıl 2013 Cilt: 3 Sayı: 3

Kaynak Göster

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, ve 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 (01 Eylül 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, ve C.-C. Shih, “Speed of Convergence to Market Efficiency: Example of Top loser Stocks”, IJEFI, c. 3, sy 3, ss. 591–601, Eyl. 2013, [çevrimiçi]. Erişim adresi: 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 (01 Eylül 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, vd. “Speed of Convergence to Market Efficiency: Example of Top loser Stocks”. International Journal of Economics and Financial Issues, c. 3, sy 3, Eylül 2013, ss. 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]. 01 Eylül 2013;3(3):591-60. Erişim adresi: https://izlik.org/JA52HX34SP