Market Efficiency - A Structural Study with Intraday Data

46 Pages Posted: 23 Feb 2022 Last revised: 1 Dec 2022

Date Written: November 22, 2022

Abstract

I develop six market efficiency measures. Applying a seven-equation structural model with market efficiency as function of exogenous factors and endogenous market activities, and each endogenous market activity as function of exogenous factors and all other endogenous activities, using intraday data on all U.S. public companies over 2014-2021, I find that Nasdaq listing has statistically ambiguous but economically insignificant impact, time has statistically significant but economically insignificant negative impact, investor valuation dispersions and short sales costs & constraints have statistically and economically significant negative impacts, and that transaction costs & constraints has statistically and economically ambiguous impact, on market efficiency.

Keywords: Market efficiency; Intraday data; Event studies; Earnings announcements; Key developments.

JEL Classification: G14; G12; C58; C33; C36.

Suggested Citation

Bhattacharya, Rajeev, Market Efficiency - A Structural Study with Intraday Data (November 22, 2022). Available at SSRN: https://ssrn.com/abstract=4030185 or http://dx.doi.org/10.2139/ssrn.4030185

Rajeev Bhattacharya (Contact Author)

Washington Finance and Economics ( email )

United States

HOME PAGE: http://washington-finance.com

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