The impact of data frequency on market efficiency tests of commodity futures prices
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21912
Abstract: We investigate the impacts of sampling frequency and model specification uncertainty on the outcome of unit root tests, commonly employed as market efficiency tests, using a new, robust Bayesian test on seven commodity futures prices… read more here.
Keywords: frequency; futures prices; commodity futures; market efficiency ... See more keywords
The Chicago Climate Exchange and market efficiency: an empirical analysis
Sign Up to like & getrecommendations! Published in 2017 at "Environmental Economics and Policy Studies"
DOI: 10.1007/s10018-016-0171-4
Abstract: This study provides the first empirical investigation of informational efficiency for the Chicago Climate Exchange. Using daily settlement price and trading volume data for the Carbon Financial Instruments, we conduct a battery of econometric tests… read more here.
Keywords: efficiency; climate exchange; chicago climate; market efficiency ... See more keywords
Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study
Sign Up to like & getrecommendations! Published in 2019 at "Asia-Pacific Financial Markets"
DOI: 10.1007/s10690-019-09286-0
Abstract: This paper investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time… read more here.
Keywords: efficiency liquidity; market efficiency; liquidity multifractality; market ... See more keywords
Auctions, market efficiency, and the trade in second-hand and antique silver
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.10.022
Abstract: Using a new, large, unique database relating to silver goods sold at two major UK auction houses we show that the scrap value of silver plays a significant role in determining the realised prices of… read more here.
Keywords: trade second; silver auctions; market efficiency; efficiency trade ... See more keywords
Liquidity and market efficiency in cryptocurrencies
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2018.04.003
Abstract: We examine the liquidity of 456 different cryptocurrencies, and show that return predictability diminishes in cryptocurrencies with high market liquidity. We show that whilst Bitcoin returns are showing signs of efficiency, numerous cryptocurrencies still exhibit… read more here.
Keywords: liquidity; liquidity market; market; efficiency cryptocurrencies ... See more keywords
Trading aggressiveness and market efficiency
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2019.100515
Abstract: Stein (2009) shows that crowding by sophisticated traders can cause price overreaction. To test Stein's theory, in this paper I use trading aggressiveness after earnings releases as a measure of crowding. With a large number… read more here.
Keywords: market; market efficiency; trading aggressiveness; news ... See more keywords
Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates
Sign Up to like & getrecommendations! Published in 2019 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2019.06.003
Abstract: Abstract We propose a bitcoin-based exchange rate of USD/EUR and investigate market efficiency in the spot, futures, and forward FX markets. Structural-change, unit-root and Johansen tests indicate that the bitcoin exchange rate is a random… read more here.
Keywords: bitcoin exchange; exchange; exchange rate; market efficiency ... See more keywords
Market efficiency of Baltic stock markets: A fractional integration approach
Sign Up to like & getrecommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.07.029
Abstract: We investigate financial market efficiency in the time series of four daily Baltic stock market indices namely Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga (OMXR) and… read more here.
Keywords: baltic stock; fractional integration; market; market efficiency ... See more keywords
A statistical test of market efficiency based on information theory
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DOI: 10.1080/14697688.2023.2211108
Abstract: We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon entropy, applied to a… read more here.
Keywords: information; test market; information theory; statistical test ... See more keywords
The Dynamics of Market Efficiency
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DOI: 10.1093/rfs/hhw085
Abstract: We study the dynamics of high-frequency market efficiency measures. We provide evidence that these measures comove across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we… read more here.
Keywords: dynamics market; efficiency; market efficiency;
Quantifying Market Efficiency Impacts of Aggregated Distributed Energy Resources
Sign Up to like & getrecommendations! Published in 2020 at "IEEE Transactions on Power Systems"
DOI: 10.1109/tpwrs.2020.2979997
Abstract: We focus on the aggregation of distributed energy resources (DERs) through a profit-maximizing intermediary that enables participation of DERs in wholesale electricity markets. Particularly, we study the market efficiency brought in by the large-scale deployment… read more here.
Keywords: efficiency; distributed energy; energy resources; market efficiency ... See more keywords