Similar Search Results

Market efficiency and news dynamics : evidence from international equity markets

Chiang, Thomas C. - In: Economies : open access journal 7 (2019) 1/7, pp. 1-17

This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the...

Persistent link: https://www.econbiz.de/10012020659

The random walk of high frequency trading

Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015 - This draft: June 1, 2015

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns …-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news … events, trade-time returns of the near-month E-mini S&P 500 futures contract are well characterized by a Gaussian …

Persistent link: https://www.econbiz.de/10010392091

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Persistent link: https://www.econbiz.de/10012703265

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...