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Liquidity, information and market efficiency: an intraday approach on a frontier stock market

Author

Listed:
  • Alexandru Todea

    () (Faculty of Economics and Business Administration, Babes-Bolyai University)

  • Andrei Rusu

    () (Faculty of Economics and Business Administration, Babes-Bolyai University)

Abstract

The positive impact of liquidity on market efficiency has been confirmed on the Bucharest Stock Exchange using high-frequency data. Stock market efficiency is significantly higher during informational periods and lower in non-informational periods. Liquidity improves the price discovery process regardless of the informational environment.

Suggested Citation

  • Alexandru Todea & Andrei Rusu, 2014. "Liquidity, information and market efficiency: an intraday approach on a frontier stock market," Economics Bulletin, AccessEcon, vol. 34(4), pages 2303-2307.
  • Handle: RePEc:ebl:ecbull:eb-14-00679
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I4-P209.pdf
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    References listed on IDEAS

    as
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    5. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    6. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
    7. Chung, Dennis & Hrazdil, Karel, 2010. "Liquidity and market efficiency: A large sample study," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2346-2357, October.
    8. Alexandru Todea & Adrian Zoicas-Ienciu, 2008. "Episodic dependencies in Central and Eastern Europe stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 15(14), pages 1123-1126.
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    liquidity; information; stock market efficiency; high-frequency data; predictability;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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