Evidence on the Speed of Convergence to Market Efficiency

Preprint

1 January 2001

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.282408

Abstract

Daily returns for stocks listed on the New York Exchange (NYSE) are not serially dependent. In contrast, order imbalances on the same stocks are highly persist

Keywords

SSRN
EVIDENCE ON THE SPEED OF CONVERGENCE TO MARKET EFFICIENCY
TARUN CHORDIA
AVANIDHAR SUBRAHMANYAM
RICHARD ROLL

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