文章基本信息

标题：Market Efficiency of Commercial Bank in Financial Crisis
本地全文：下载
作者：Han-Ching Huang ; Yong-Chern Su ; Tze-Yi Lin 等
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2016
卷号：6
期号：2
页码：756-764
语种：English
出版社：EconJournals
摘要：This study investigates commercial bank market efficiency in financial crisis. We employ a time-varying GARCH model because volatility matters in financial crisis. The empirical results show a significant positive relation between contemporaneous order imbalances and returns in convergence process toward efficiency. A direct linkage between volatility and order imbalances is examined by GARCH model. Surprisingly, a low connection exists between order imbalance and price volatility, implying that market makers are capable of mitigating commercial bank prices volatility in financial crisis. We develop an imbalance based trading strategy but fail to beat the market. A nested causality approach, which examines the dynamic return-order imbalance relationship during the price formation process, confirms the results. Keywords: order imbalance; market efficiency; commercial bank; financial crisis. JEL classification: G01; G14; G21
其他摘要：This study investigates commercial bank market efficiency in financial crisis. We employ a time-varying GARCH model because volatility matters in financial crisis. The empirical results show a significant positive relation between contemporaneous order imbalances and returns in convergence process toward efficiency. A direct linkage between volatility and order imbalances is examined by GARCH model. Surprisingly, a low connection exists between order imbalance and price volatility, implying that market makers are capable of mitigating commercial bank prices volatility in financial crisis. We develop an imbalance based trading strategy but fail to beat the market. A nested causality approach, which examines the dynamic return-order imbalance relationship during the price formation process, confirms the results. Keywords: order imbalance; market efficiency; commercial bank; financial crisis. JEL classification: G01; G14; G21