Simple measures of market efficiency: A study in foreign exchange markets
Simple measures of market efficiency: A study in foreign exchange markets
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DOI：
10.1016/j.japwor.2016.11.001
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发表时间：
2017-03-01
影响因子：
1.3
通讯作者：
Kitamura, Yoshihiro
中科院分区：
文献类型：
--
作者：
Kitamura, Yoshihiro
以往对股票市场的研究认为，市场有效性的程度是订单流预测能力的倒数。根据这一概念，我提出了简单的市场效率措施，在外汇（FX）市场。第一种方法认为，当正（负）订单流预测基础货币的升值（贬值）时，市场是无效率的。第二个衡量标准考虑使用订单流的预测是否会导致有形收益。这些指标与外汇市场的流动性水平和信息因素有关，与以往研究中的指标不同。(C)2016爱思唯尔B.V.保留所有权利。
Previous studies on the stock market consider the degree of market efficiency to be an inverse of the predictive power of order flow. Following this notion, I propose simple market efficiency measures in foreign exchange (FX) markets. The first measure considers the market to be inefficient when positive (negative) order flows predict the appreciation (depreciation) of a base currency. The second measure considers whether predictions using order flow result in tangible gains. These measures are related to liquidity levels and information factors in FX markets, unlike the measures in previous studies. (C) 2016 Elsevier B.V. All rights reserved.