We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.

Foreign Exchange rate movement is one of the most important indicator for investors decision to invest in the Foreign Exchange and Forex markets. The development of this market and gaining stability of this progress is possible through the investment of the investors. If investors invest keeping...