Market Efficiency of Commercial Bank in Financial Crisis
This study investigates commercial bank market efficiency in financial crisis. We employ a time-varying GARCH model because volatility matters in financial crisis. The empirical results show a significant positive relation between contemporaneous order imbalances and returns in convergence process...
Main Authors: | Han-Ching Huang, Yong-Chern Su, Tze-Yi Lin |
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Format: | Article |
Language: | English |
Published: |
EconJournals
2016-04-01
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Series: | International Journal of Economics and Financial Issues |
Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/2036 |
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