The Dynamics of Market Efficiency
研究了高频市场效率指标的动态变化，发现这些指标在股票间和彼此间共同波动，表明存在系统性市场效率成分。冲击融资流动性、对冲基金管理资产和算法交易代理变量会显著影响系统性市场效率。
We study the dynamics of high-frequency market efficiency measures. We provide evidence that these measures comove across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we show that shocks to funding liquidity (the TED spread), hedge fund assets under management, and a proxy for algorithmic trading are significantly associated with systematic market efficiency. Thus, stock market efficiency is prone to systematic fluctuations, and, consistent with recent theories, events and policies that impact funding liquidity can affect the aggregate degree of price efficiency.