Short-term inefficiencies on order-driven markets
(2006) 11th Belgian Financial Research Forum — Location: Namur, Belgique
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- Authors
- Abstract
- (en) Using highly detailed intraday data, we consider short-term market efficiency on Euronext through the analysis of returns and order imbalances over short periods from five to sixty minutes. Returns present serial correlation over five-minute time intervals. As lagged order imbalances have a significant positive predictive power on returns over this short period, it seems to demonstrate a weak-form short-term inefficiency probably due to the time investors need to integrate information relative to order imbalance and take advantage of it by making countervailing rades.
- Affiliations
Louvain School of Management Accounting & Finance
Citations
Rans, C. (2006). Short-term inefficiencies on order-driven markets. 11th Belgian Financial Research Forum, Namur, Belgique. https://hdl.handle.net/2078.5/128896