Information Jumps, Liquidity Jumps, and Market Efficiency

Michael C. Tseng and Soheil Mahmoodzadeh
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Michael C. Tseng: Department of Economics, University of Central Florida, Orlando, FL 32816, USA
Soheil Mahmoodzadeh: Canadian Western Bank, Edmonton, AB T5J 3X6, Canada

JRFM, 2022, vol. 15, issue 3, 1-21

Abstract: We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.

Keywords: information efficiency; high-frequency econometrics; foreign exchange market (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
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