Simple measures of market efficiency: A study in foreign exchange markets

研究成果: Article

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Previous studies on the stock market consider the degree of market efficiency to be an inverse of the predictive power of order flow. Following this notion, I propose simple market efficiency measures in foreign exchange (FX) markets. The first measure considers the market to be inefficient when positive (negative) order flows predict the appreciation (depreciation) of a base currency. The second measure considers whether predictions using order flow result in tangible gains. These measures are related to liquidity levels and information factors in FX markets, unlike the measures in previous studies.

元の言語English
ページ(範囲)1-16
ページ数16
ジャーナルJapan and the World Economy
41
DOI
出版物ステータスPublished - 2017 3 1

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations

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