The Dynamics of Market Efficiency

• 成果类型: Article
• 署名作者: Rosch, Dominik M.; Subrahmanyam, Avanidhar; van Dijk, Mathijs A.
• 署名单位: State University of New York (SUNY) System; University at Buffalo, SUNY; University of California System; University of California Los Angeles; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw085
• 发表日期: 2017
• 页码: 1151
• 关键词: PUT-CALL PARITY; stock returns; cross-section; time-series; institutional investors; INDEX ARBITRAGE; Order imbalance; Hedge funds; liquidity; price

摘要

We study the dynamics of high-frequency market efficiency measures. We provide evidence that these measures comove across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we show that shocks to funding liquidity (the TED spread), hedge fund assets under management, and a proxy for algorithmic trading are significantly associated with systematic market efficiency. Thus, stock market efficiency is prone to systematic fluctuations, and, consistent with recent theories, events and policies that impact funding liquidity can affect the aggregate degree of price efficiency.