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Evidence On The Speed Of Convergence To Market Efficiency: Evidence From Stock Spin-Offs

Author

Listed:
  • Han-Ching Huang
  • Yong-Chern Su
  • Chun-E Shih

Abstract

We use order imbalance to investigate dynamic relations among intraday return, volatility and order imbalance of stock spinoffs. A GARCH model is employed to examine whether the larger order imbalance is associated with larger stock price volatility. We do not find a significant positive relation between them, which implies that market makers do a successful job of mitigating volatility on spinoffs. Moreover, we develop imbalance-based trading strategies and find they can beat open-to-close returns only in the 5- minutes time interval.

Suggested Citation

  • Han-Ching Huang & Yong-Chern Su & Chun-E Shih, 2015. "Evidence On The Speed Of Convergence To Market Efficiency: Evidence From Stock Spin-Offs," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 9(2), pages 1-8.
    • Handle: RePEc:ibf:gjbres:v:9:y:2015:i:2:p:1-8
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Spin-off; Order Imbalance; Market Efficiency; Volatility;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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