Temporal information gaps and market efficiency: A dynamic behavioral analysis
This study seeks to explore, how market efficiency changes, if ordinary traders receive fundamental news more or less often. We show that longer temporal information gaps lead to fewer but larger shocks and a reduction of the average noise level on the dynamics. The consequences of these effects for market efficiency are ambiguous. Longer temporal information gaps can deteriorate or improve market efficiency. The concrete result depends on the stability of the market together with the interval in which the length of the gap is incremented.
|Date of creation:||2009|
|Contact details of provider:|| Postal: D-96045 Bamberg|
Web page: http://www.uni-bamberg.de/vwl/forschung/berg/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:zbw:bamber:64. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.