Access the full text.
Sign up today, get DeepDyve free for 14 days.
W. Bondt, R. Thaler (1987)
Further Evidence On Investor Overreaction and Stock Market SeasonalityJournal of Finance, 42
Journal of Banking and Finance, 28
D. Hirshleifer (2001)
Investor Psychology and Asset PricingBehavioral & Experimental Finance eJournal
A. Damodaran (1993)
A Simple Measure of Price Adjustment CoefficientsJournal of Finance, 48
Review of Financial Studies, 4
H. Bessembinder (2003)
Trade Execution Costs and Market Quality after DecimalizationJournal of Financial and Quantitative Analysis, 38
(2001)
Profitability of Momentum Strategies: an Evaluation of Alternative Explanations
Grant Mcqueen, Michael Pinegar, Steven Thorley (1996)
Delayed Reaction to Good News and the Cross‐Autocorrelation of Portfolio ReturnsJournal of Finance, 51
Kee Chung, C. Charoenwong, David Ding (2003)
Penny Pricing and the Components of Spread and Depth ChangesSingapore Management University Lee Kong Chian School of Business Research Paper Series
Harrison Hong, J. Stein (1997)
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset MarketsCapital Markets: Asset Pricing & Valuation
Thomas George, Gautam Kaul, M. Nimalendran (1991)
Estimation of the Bid-Ask Spread and Its Components: A New ApproachReview of Financial Studies, 4
Journal of Finance, 56
C. Jones (2002)
A Century of Stock Market Liquidity and Trading CostsColumbia Business School Research Paper Series
E. Fama (1997)
Market Efficiency, Long-Term Returns, and Behavioral FinanceChicago Booth: Fama-Miller Working Paper Series
V. Acharya, L. Pedersen (2003)
Asset Pricing with Liquidity RiskERN: Pricing (Topic)
F. Eugene (1998)
FAMA, . Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics ., 49
L. Glosten, Paul Milgrom (1985)
Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersJournal of Financial Economics, 14
C. Jones, Gautam Kaul, M. Lipson (1994)
Transactions, Volume, and VolatilityReview of Financial Studies, 7
Charles Lee, Belinda Mucklow, M. Ready (1993)
Spreads, Depths, and the Impact of Earnings Information: An Intraday AnalysisReview of Financial Studies, 6
D. Cushing, Ananth Madhavan (2000)
Stock returns and trading at the closeJournal of Financial Markets, 3
Jonathan Karpoff (1987)
The Relation between Price Changes and Trading Volume: A SurveyJournal of Financial and Quantitative Analysis, 22
Journal of Finance, 53
Jon Garfinkel, M. Nimalendran (2003)
Market Structure and Trader Anonymity: An Analysis of Insider TradingJournal of Financial and Quantitative Analysis, 38
Roni Michaely, R. Thaler, Kent Womack (1994)
Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?Corporate Finance: Capital Structure & Payout Policies
D. Easley, Maureen O'Hara (1992)
Time and the Process of Security Price AdjustmentJournal of Finance, 47
Tarun Chordia, A. Subrahmanyam, Richard Roll (2001)
Evidence on the Speed of Convergence to Market EfficiencyCapital Markets: Market Efficiency eJournal
N. Barberis, A. Shleifer, Robert Vishny (1997)
A Model of Investor SentimentBehavioral & Experimental Finance
K. Back (1992)
Insider Trading in Continuous TimeReview of Financial Studies, 5
Thierry Foucault, Sophie Moinas, E. Theissen (2002)
Does Anonymity Matter in Electronic Limit Order Markets?Capital Markets: Market Microstructure eJournal
Lawrence Benveniste, A. Marcus, W. Wilhelm (1992)
What's special about the specialist?Journal of Financial Economics, 32
Gady Jacoby, D. Fowler, Aron Gottesman (2000)
The capital asset pricing model and the liquidity effect: A theoretical approachJournal of Financial Markets, 3
Tarun Chordia, Richard Roll, A. Subrahmanyam (2007)
Liquidity and Market EfficiencyCapital Markets: Market Microstructure
Journal of Financial Economics, 71
D. Easley, Maureen O'Hara (1987)
PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS*Journal of Financial Economics, 19
A. Kyle (1985)
Continuous Auctions and Insider TradingEconometrica, 53
Journal of Finance, 43
Ji-Chai Lin, Michael Rozeff (1995)
The Speed of Adjustment of Prices to Private Information: Empirical TestsCapital Markets: Market Efficiency
D. Kliger, BG Malkiel (2007)
Efficient capital markets: A review of theory and empirical work
Journal of Financial Economics, 87
Journal of Financial Economics, 49
L. Harris, Joel Hasbrouck (1996)
Market vs. Limit Orders: The SuperDOT Evidence on Order Submission StrategyJournal of Financial and Quantitative Analysis, 31
Gady Jacoby, D. Fowler (2001)
On Asset Pricing and the Bid-Ask Spread
Y. Amihud, H. Mendelson (1987)
Trading Mechanisms and Stock Returns: An Empirical InvestigationJournal of Finance, 42
A. Gallant, Peter Rossi, George Tauchen (1992)
Stock Prices and VolumeReview of Financial Studies, 5
Journal of Political Economy, 113
L. Glosten, L. Harris (1988)
Estimating the components of the bid/ask spreadJournal of Financial Economics, 21
Journal of Financial Markets, 5
Neil Brisley, M. Theobald (1996)
A Simple Measure of Price Adjustment Coefficients: A CorrectionJournal of Finance, 51
D. Easley, Soeren Hvidkjaer, Maureen O'Hara (2002)
Is Information Risk a Determinant of Asset ReturnsJournal of Finance, 57
Journal of Banking and Finance
Narasimhan Jegadeesh, S. Titman (1993)
Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyJournal of Finance, 48
Journal of Financial Economics, 76
(1990)
A Theory of Interday Variations in Volumes, Variances and Trading Costs in Securities Markets, Review of Financial Studies
Review of Financial Studies, 20
Stephen Wilcox (1999)
Investor Psychology and Security Market Under- and OverreactionsCfa Digest, 29
Sanford Grossman, Merton Miller (1988)
Liquidity and Market StructureWharton School: Finance (Topic)
M. Theobald, Peter Yallup (2004)
Determining security speed of adjustment coefficientsJournal of Financial Markets, 7
Kee Chung, Chairat Chuwonganant, Jing Jiang (2007)
The Dynamics of Quote AdjustmentsCapital Markets: Market Microstructure
Michael Barclay, Jerold Warner (1993)
Stealth trading and volatilityJournal of Financial Economics, 34
Journal of Financial Economics, 49
Tarun Chordia, B. Swaminathan (2000)
Trading Volume and Cross‐Autocorrelations in Stock ReturnsJournal of Finance, 55
V. Bernard, Jacob Thomas (1989)
POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUMJournal of Accounting Research, 27
W. Bondt, R. Thaler (1985)
Does the Stock Market OverreactJournal of Finance, 40
Kee Chung, Chairat Chuwonganant (2001)
Tick Size and Quote Revisions on the NYSEJournal of Financial Abstracts eJournal
Journal of Financial Markets, 5
R. Huang, Ronald Masulis (2003)
Trading Activity and Stock Price Volatility: Evidence from the London Stock ExchangeFEN: Behavioral Finance (Topic)
Kee Chung, Chairat Chuwonganant, T. McCormick (2004)
Order Preferencing and Market Quality on NASDAQ Before and after DecimalizationCapital Markets: Market Microstructure
PurposeThis paper aims to provide evidence that market efficiency varies greatly across individual stock, and across market exchanges.Design/methodology/approachThree approaches, partial adjustment model, Dimson beta model and variance ratio test, are used on a large sample of US stocks.FindingsThis paper finds prices are closer to random walk benchmarks (i.e. more efficient) for stocks with better liquidity provision, frequent trading, greater return volatility, higher prices, larger market capitalizations and smaller trade sizes. These findings suggest that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Market efficiency also varies with information environment. The results show that stocks with greater information-based trading exhibit higher level of efficiency. Finally, market structure influences market efficiency. New York Stock Exchange stocks achieve higher level of efficiency than NASDAQ stocks do. The empirical results are robust and not driven by differences in stock attributes between the two markets.Research limitations/implicationsOverall, these results indicate that liquidity provision, stock attributes and market structure exert a significant impact on the realization of market efficiency.Practical implicationsIn addition, this paper is also relevant to both stock exchanges facing increased competition and to market regulators.Originality/valuePrior studies offer little evidence on the speed at which new information is impounded into the price. There is also limited evidence regarding how liquidity provision and market structure affect market efficiency. Using a transformation of the speed of price adjustment and other measurements as proxies for individual stock efficiency, this study may shed further lights on our understanding of market efficiency.
Review of Accounting and Finance – Emerald Publishing
Published: Feb 13, 2017
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.