Evidence on the speed of convergence to market efficiency

被引：229

作者：

Chordia, T

Roll, R

Subrahmanyam, A

机构：

[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90095 USA

[2] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2005年 / 76卷 / 02期

关键词：

serial dependence; market efficiency; speed of convergence;

D O I：

10.1016/j.jfineco.2004.06.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Daily returns for stocks listed on the New York Exchange (NYSE) are not serially correlated while order imbalances on the same stocks are highly persistent. These empirical facts can be reconciled if sophisticated investors react to order imbalances within the trading day by undertaking enough countervailing trades to remove serial dependence over a daily horizon. How long does this actually take? The pattern of intra-day serial dependence reveals that it takes more than five minutes but less than sixty minutes. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：271 / 292

页数：22

共 26 条

[1] True spreads and equilibrium prices [J].