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Liquidity, information and market efficiency: an intraday approach on a frontier stock market

Author

Listed:
  • Alexandru Todea

    (Faculty of Economics and Business Administration, Babes-Bolyai University)

  • Andrei Rusu

    (Faculty of Economics and Business Administration, Babes-Bolyai University)

Abstract

The positive impact of liquidity on market efficiency has been confirmed on the Bucharest Stock Exchange using high-frequency data. Stock market efficiency is significantly higher during informational periods and lower in non-informational periods. Liquidity improves the price discovery process regardless of the informational environment.

Suggested Citation

  • Alexandru Todea & Andrei Rusu, 2014. "Liquidity, information and market efficiency: an intraday approach on a frontier stock market," Economics Bulletin, AccessEcon, vol. 34(4), pages 2303-2307.
    • Handle: RePEc:ebl:ecbull:eb-14-00679
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    liquidity; information; stock market efficiency; high-frequency data; predictability;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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