An intraday analysis of the market efficiency-liquidity relationship: the case of BVB stock exchange

摘要

This article has the aim of investigating the relationship between market efficiency and liquidity on an emerging market, the Romanian financial market. Since there are very few studies that address this issue and even fewer studies conducted in developing countries, such an analysis is auspicious. Its complexity is given by the fact that the above link is studied through the use of panel data, a panel of processed intraday observations. Although the article's random effects regression uses inverse indicators of efficiency and liquidity, the result still provides a positive relationship between these two factors reaching the same conclusion as the one of CRS (2008)-market liquidity has a positive impact on informational efficiency, the increase of liquidity leading to greater efficiency.