Evidence on the Speed of Convergence to Market Efficiency, forthcoming: Journal of Financial Economics
By Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam. 2001
372 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0c009c186491cf5c5b9b0fbbc6672f1c7b7368b4
How researchers see this paper
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In Economics and Econometrics
- Brian M. Lucey
- Maureen O’Hara
- Terrence Hendershott
- David A. Easley
- Karel Hrazdil
- Mark S. Seasholes
- Thomas Lagoarde-Segot
- Jacob Zahavi
In Finance
- Maureen O’Hara
- Brian M. Lucey
- David A. Easley
- Terrence Hendershott
- Dennis Chung
- Karel Hrazdil
- Mark S. Seasholes
- Thomas Lagoarde-Segot
Citations in the corpus
- Time-Varying Arrival Rates of Informed and Uninformed Trades (2007, background): “…of the latter include Hasbrouck (1991), Dufour and Engle (2000), Engle (2000), Engle and Russell (1998), Manganelli (2000), Engle and Lange (2001), Chordia, Roll, and Subrahmanyam (2000, 2001a, 2001b, 2002, 2005), Chordia and Subrahmanyam (2004), Hasbrouck and Seppi (2001), and Korajczyk and…”
- Efficiency in emerging markets--Evidence from the MENA region (2008, background): “First, illiquidity affects the market’s capacity to accommodate orders (Chordia et al., 2005).”
- Empirical evaluation of an automated intraday stock recommendation system incorporating both market data and textual news (2014, background): “Studies such as [7] and [8] observed stock price inefficiency during intraday time intervals ranging from less than 1min to 30min.”
- Liquidity and Market Efficiency: A Large Sample Study (2010, background): “Recent empirical studies in the market microstructure literature also show increasing interest in the relationship between order flows and stock returns (e.g. Chordia et al., 2002, 2005; Chordia and Subrahmanyam, 2004; Subrahmanyam, 2008).”
- Market Maker Inventories and Stock Prices (2006, positive): “The portfolio that one expects to exhibit the largest reversals, high-inventory/lowOIB stocks minus the low-inventory/high-OIB stocks, returns 49.77 basis points over the next week, which is roughly 50% larger than the reversal based on inventories or order imbalances alone.”
- Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics (2020, background): “Some of them look for a predictability of price returns [17], using for example the amplitude of the parameters of a timevarying AR model [41, 58].”