Short-term market efficiency indicator based on the waiting-time distribution

Syed Mujahid Hussain*, Sergey Osmekhin, Frédéric Délèze

*المؤلف المقابل لهذا العمل

نتاج البحث: المساهمة في مجلةمراجعة النظراء

ملخص

This paper presents a quantitative approach to measure market efficiency based on the waiting-time distribution. We use the spread between two classes of ordinary shares of Royal Dutch Shell Plc, and two listings of Australia and New Zealand Banking Group Limited to observe market inefficient states. We find that the parameter of the waiting-time distribution provides a quantitative measure of the market inefficiency and can be used as a short-term market efficiency indicator. This approach can be applied to liquid financial markets and has clear implications for the investors, hedgers, regulators and policymakers.

اللغة الأصليةEnglish
دوريةReview of Managerial Science
المعرِّفات الرقمية للأشياء
حالة النشرAccepted/In press - يناير 1 2020

ASJC Scopus subject areas

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