Year: 2012
Type: dissertation
Abstract: The process by which prices converge to achieve market efficiency is still unresolved in the Canadian market.By analyzing the pattern of serial dependence between returns and order imbalances for various lag lengths, we investigate the speed at which such serial dependence disappears in the Canadian market.Our major findings are that negative serial dependence gradually disappears and positive serial dependence gets weaker after each of the two minimum-quotation-increment-reductions.However, serial dependence between returns and order imbalances is still significant for elapsed times of up to sixty minutes.
Author: Ying Huang
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W137487230