Simple measures of market efficiency: A study in foreign exchange markets

被引：7
|
作者：
Kitamura, Yoshihiro [1 ]
机构：
[1] Waseda Univ, Sch Social Sci, Shinjuku Ku, I-6-1 Nishi Waseda, Tokyo, Japan
来源：
JAPAN AND THE WORLD ECONOMY | 2017年 / 41卷
关键词：
Liquidity; Information asymmetry; Market efficiency; Order flows; Stealth trading; BID-ASK SPREAD; INVESTMENT PERFORMANCE; TRADE SIZE; COMPONENTS; RETURNS; LIQUIDITY; COSTS;
D O I：
10.1016/j.japwor.2016.11.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Previous studies on the stock market consider the degree of market efficiency to be an inverse of the predictive power of order flow. Following this notion, I propose simple market efficiency measures in foreign exchange (FX) markets. The first measure considers the market to be inefficient when positive (negative) order flows predict the appreciation (depreciation) of a base currency. The second measure considers whether predictions using order flow result in tangible gains. These measures are related to liquidity levels and information factors in FX markets, unlike the measures in previous studies. (C) 2016 Elsevier B.V. All rights reserved.
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页码：1 / 16
页数：16
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