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

Alexandru Todea () and Andrei Rusu ()
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Andrei Rusu: Faculty of Economics and Business Administration, Babes-Bolyai University

Economics Bulletin, 2014, vol. 34, issue 4, 2303-2307

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.

Keywords: liquidity; information; stock market efficiency; high-frequency data; predictability (search for similar items in EconPapers)
JEL-codes: C2 G1 (search for similar items in EconPapers)
Date: 2014-11-05
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