Economics, Econometrics and Finance
4 years ago

Shocks to Funding Liquidity Impact Stock Market Efficiency, Study Finds

Review of Financial Studies
The Dynamics of Market Efficiency
Dominik Rösch, Avanidhar Subrahmanyam, Mathijs A. van Dijk

Paper Summary

Market efficiency measures move together across stocks and are influenced by funding liquidity, hedge fund assets, and algorithmic trading. Shocks to these factors can impact the overall efficiency of stock prices.

Related papers

Economics, Econometrics and Finance
3 years ago

Political shocks disrupt stock market efficiency in emerging markets, study finds.

Econophysics
Oil Price Shocks
Financial Volatility
2 views
Economics, Econometrics and Finance
3 years ago

African Stock Markets Show Inefficiency During Global Pandemic, Impacting Investors.

Asset Pricing
Oil Price Shocks
Financial Volatility
2 views
Economics, Econometrics and Finance
7 years ago

Bonus Issue Announcements Boost Indian Stock Market Efficiency, Uncover Insider Trading

Asset Pricing
Corporate Governance
1 view