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Returns, Order Imbalance and Speed of Efficiency: Evidence from India
, Nikhil Rastogi, V Nagi Reddy
Published in EuroJournals
2015
Pages: 7 - 15
Abstract

We check for the speed of efficiency for the Indian market pre and post the introduction of compulsory rolling settlement using the variables of lagged returns and order imbalance at the daily as well as intra-day intervals in the post rolling settlement period. As measured by lagged returns we find that the market has turned weak form efficient in the intra-day intervals of 120 minutes and 60minutes. We also find that the persistence in order imbalance is getting neutralized at daily interval such that it does not have any significant effect on returns. This brings out the ability of the Indian market in terms of absorbing imbalances at daily interval. At the 60 minutes and 120 minutes intervals we find that lagged imbalances continue to significantly impact the returns. Since order imbalance is not observable so this result is more a comment on strong form of efficiency of the Indian market.

About the journal
JournalInternational Research Journal of Finance and Economics
PublisherEuroJournals
ISSN1450-2887
Open AccessNo
Concepts (5)
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    Efficiency
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    India
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    Order imbalance
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    Pre-2002 and post-2002
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    Rolling settlement