Information jumps, liquidity jumps, and market efficiency

Tseng, Michael; Mahmoodzadeh, Soheil

doi:doi:10.3390/jrfm15030097

Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258820

Title:

Information jumps, liquidity jumps, and market efficiency

Authors:

Tseng, Michael
Mahmoodzadeh, Soheil

Year of Publication:

2022

Citation:

[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 3 [Article No.:] 97 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-21

Publisher:

MDPI, Basel

Abstract:

We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.

Subjects:

information efficiency
high-frequency econometrics
foreign exchange market

Persistent Identifier of the first edition:

doi:10.3390/jrfm15030097

Creative Commons License: