TY - JOUR
T1 - Short-term market efficiency indicator based on the waiting-time distribution
AU - Hussain, Syed Mujahid
AU - Osmekhin, Sergey
AU - Délèze, Frédéric
N1 - Publisher Copyright:
© 2020, Springer-Verlag GmbH Germany, part of Springer Nature.
PY - 2020
Y1 - 2020
N2 - 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.
AB - 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.
KW - Market efficiency indicator
KW - Market inefficiency
KW - Statistical arbitrage
KW - Waiting-time distribution
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UR - https://www.mendeley.com/catalogue/473bc393-3f9f-334f-bf92-6fa52d32f3a7/
U2 - 10.1007/s11846-020-00398-w
DO - 10.1007/s11846-020-00398-w
M3 - Review article
AN - SCOPUS:85086452387
SN - 1863-6683
VL - 15
SP - 1561
EP - 1572
JO - Review of Managerial Science
JF - Review of Managerial Science
IS - 6
ER -