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- W1496374028 abstract "This study examines the relationship between returns and contemporaneous and lagged-order imbalances by regression analysis. Conditional on contemporaneous imbalances, a significantly negative relationship is found between lagged-one imbalances and returns, except for a 10-minute time interval. This suggests that seasoned equity offering (SEO) markets converge to efficiency within 10 minutes. In addition, a GARCH model is used to examine the dynamic relationship between volatility and order imbalances. The empirical results demonstrate that market-makers effectively mitigate volatility in SEO announcements, demonstrating a price stabilisation capability in secondary market-making." @default.
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- W1496374028 date "2015-01-02" @default.
- W1496374028 modified "2023-09-22" @default.
- W1496374028 title "Convergence to market efficiency: the case of seasoned equity offering stocks" @default.
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- W1496374028 doi "https://doi.org/10.1080/10293523.2015.994445" @default.
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