Evidence on the speed of convergence to market efficiency

• 成果类型: Article
• 署名作者: Chordia, T; Roll, R; Subrahmanyam, A
• 署名单位: University of California System; University of California Los Angeles; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.06.004
• 发表日期: 2005
• 页码: 271-292
• 关键词: serial dependence; market efficiency; speed of convergence

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.