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

Syed Mujahid Hussain*, Sergey Osmekhin, Frédéric Délèze

*Corresponding author for this work

Research output: Contribution to journalReview articlepeer-review

Abstract

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.

Original languageEnglish
JournalReview of Managerial Science
DOIs
Publication statusAccepted/In press - Jan 1 2020

Keywords

  • Market efficiency indicator
  • Market inefficiency
  • Statistical arbitrage
  • Waiting-time distribution

ASJC Scopus subject areas

  • Business, Management and Accounting(all)

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