Thomas And Patnaik-Serial Correlation In High-Frequency Data And The Link With Liquidity

This paper tests for market efficiency at high-frequencies of the Indian equity markets. Wedo this by testing the behaviour of serial correlation in firm stock prices using the Variance Ratio test on high frequency returns data. We find that at a frequency interval of five minutes,all the stocks show a pattern of mean-reversion. However, different […]

This paper tests for market efficiency at high-frequencies of the Indian equity markets. Wedo this by testing the behaviour of serial correlation in firm stock prices using the Variance Ratio test on high frequency returns data. We find that at a frequency interval of five minutes,all the stocks show a pattern of mean-reversion. However, different stocks revert at different rates. We find that there is a correlation between the time the stock takes to revert to the mean and the liquidity of the stock on the market. Here, liquidity is measured both in terms of impact cost as well as trading intensi

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