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Alexandru Todea and Andrei Rusu
''Liquidity, information and market efficiency: an intraday approach on a frontier stock market''
( 2014, Vol. 34 No.4 )
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
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Aug 07 2014 Manuscript Accepted : Nov 05 2014

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