Liquidity and market efficiency
Liquidity and market efficiency
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DOI：
10.1016/j.jfineco.2007.03.005
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发表时间：
2008-02-01
影响因子：
8.9
通讯作者：
Subrahmanyam, Avanidhar
中科院分区：
文献类型：
--
作者：
Chordia, Tarun;Roll, Richard;Subrahmanyam, Avanidhar
订单流的短期回报可预测性是市场效率的反向指标。我们发现，当买卖价差收窄时，这种可预测性就会减弱，随着时间的推移，随着时间的推移，这种可预测性会随着时间的推移而下降。方差比检验表明，在流动性更强的小数区间，价格比在其他区间更接近随机游走基准。这些发现表明，流动性刺激套利活动，进而提高市场效率。此外，随着滴答大小的减小，开-闭/闭-开收益率的变异率增加，而收益率的自相关性降低。这表明，在流动性更强的体制下，私人信息将更多地纳入价格。(C)2007 Elsevier B.V.保留所有权利。
Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal regime than in other ones. These findings indicate that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Further, as the tick size decreased, open-close/close-open return variance ratios increased, while return autocorrelations decreased. This suggests an increased incorporation of private information into prices during more liquid regimes. (c) 2007 Elsevier B.V. All rights reserved.