The Dynamics of Market Efficiency

被引：75

作者：

Rosch, Dominik M. ^{[1
]}

Subrahmanyam, Avanidhar ^{[2
]}

van Dijk, Mathijs A. ^{[3
]}

机构：

[1] SUNY Buffalo, Buffalo, NY USA

[2] Univ Calif Los Angeles, Los Angeles, CA USA

[3] Erasmus Univ, Rotterdam Sch Management, Rotterdam, Netherlands

来源：

REVIEW OF FINANCIAL STUDIES | 2017年 / 30卷 / 04期

关键词：

PUT-CALL PARITY; STOCK RETURNS; CROSS-SECTION; TIME-SERIES; INSTITUTIONAL INVESTORS; INDEX ARBITRAGE; ORDER IMBALANCE; HEDGE FUNDS; LIQUIDITY; PRICE;

D O I：

10.1093/rfs/hhw085

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：1151 / 1187

页数：37

共 68 条

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