EVIDENCE ON THE SPEED OF CONVERGENCE TO MARKET EFFICIENCY: EVIDENCE FROM STOCK SPIN-OFFS

Han-Ching Huang, Yong-Chern Su and Chun-E Shih

Global Journal of Business Research, 2015, vol. 9, issue 2, 1-8

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.

Keywords: Spin-off; Order Imbalance; Market Efficiency; Volatility (search for similar items in EconPapers)
JEL-codes: G14 G34 (search for similar items in EconPapers)
Date: 2015
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