n Investment Analysts Journal - Convergence to market efficiency : the case of seasoned equity offering stocks
|Article Title||Convergence to market efficiency : the case of seasoned equity offering stocks|
|© Publisher:||Taylor & Francis|
|Journal||Investment Analysts Journal|
|Affiliations||1 Chung Yuan Christian University, Taiwan, 2 National Taiwan University and 3 National Taiwan University|
|Publication Date||Jan 2015|
|Pages||57 - 70|
|Keyword(s)||Market efficiency, Order imbalance, Seasoned equity offering and Volatility|
ISI Social Science
This study examines the relationship between returns and contemporaneous and lagged-order imbalances by regression analysis. Conditional on contemporaneous imbalances, a significantly negative relationship is found between lagged-one imbalances and returns, except for a 10-minute time interval. This suggests that seasoned equity offering (SEO) markets converge to efficiency within 10 minutes. In addition, a GARCH model is used to examine the dynamic relationship between volatility and order imbalances. The empirical results demonstrate that market-makers effectively mitigate volatility in SEO announcements, demonstrating a price stabilisation capability in secondary market-making.
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