Speed of Convergence to Market Efficiency: Example of Top loser Stocks

Speed of Convergence to Market Efficiency: Example of Top loser Stocks

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This study investigates the convergence process toward efficiency of daily top losers. We find that significance of order imbalance coefficients decreases with increasing time interval, indicating evidences on convergence to market efficiency. A time-varying GARCH model is employed to examine the re...

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Bibliographic Details
Main Authors: Han-Ching Huang, Yong-Chern Su, Chun-Chi Shih
Format: Article
Language:English
Published: EconJournals 2013-09-01
Series:International Journal of Economics and Financial Issues
Subjects:
market efficiency
order imbalance
top losers
volatility
Online Access:https://dergipark.org.tr/tr/pub/ijefi/issue/31958/351938?publisher=http-www-cag-edu-tr-ilhan-ozturk

Internet

https://dergipark.org.tr/tr/pub/ijefi/issue/31958/351938?publisher=http-www-cag-edu-tr-ilhan-ozturk

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