Market Efficiency - A Structural Study with Intraday Data

63 Pages Posted: 23 Feb 2022 Last revised: 16 Jun 2023

Date Written: June 16, 2023

Abstract

I develop six systematic and ordinal per se market efficiency measures based on controlled comparisons between categories of abnormal returns of intraday event studies. Applying an eight-equation structural model with market efficiency as a function of exogenous factors and endogenous market activities, and each endogenous market activity as a function of exogenous factors and all other endogenous activities, using intraday data on all U.S. public companies over 2014 - September 2021, I find that market efficiency did not improve with time.

Keywords: Market efficiency; Intraday data; Event studies; Earnings announcements; Analyst forecasts; Key developments; Endogenous; Simultaneous; Economic Significance.

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

Suggested Citation

Bhattacharya, Rajeev, Market Efficiency - A Structural Study with Intraday Data (June 16, 2023). 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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