Previous studies on the efficiency of oiI and gas markets have used monthly, weekly, or daily data. With the fast … evolving, high-speed transaction globalized financial markets; efficiency of markets is better-explored using intraday day. In … this paper, data sampled at 30-minute intervals intraday are used for this purpose. The efficiency and effectiveness of …

Market efficiency is analysed for the Iberian Power Futures Market and other European Power Markets, as well as other …). Enlarged data sets are recommended for stronger test results. Energy markets tend to show limited levels of market efficiency …. Regarding the emerging Iberian Power Futures Market, price efficiency is improved with market development and with further …

In this paper, we explore the relation between information uncertainty and S&P 500 index option returns. Since … recursive preference, it is priced and is able to explain variance premium and cross-section index option returns. In order to … and has better performance to explain cross-section index option returns than traditional symmetric risk factors such as …

We conduct efficiency test using the conventional method in Chordia, Roll, and Subrahmanyam (2005) and the wavelet … order imbalance, it takes about 10 minutes for the market to converge to efficiency, which is shorter than the 30-minute …