Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258820 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 3 [Article No.:] 97 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-21
Publisher: 
MDPI, Basel
Abstract: 
We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.
Subjects: 
information efficiency
high-frequency econometrics
foreign exchange market
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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