Market Microstructure and Informational Efficiency in Emerging Markets

This research link market microstructure with efficiency. Liquidity and volatility are linked with time-varying informational efficiency of the Asian emerging economies. Three measures are used for each variable. Using SGMM, this study finds that both variables have significant role in driving informational efficiency of these stock markets. Although, stock turnover among the liquidity measures and TGARCH among the volatility measures have contributed poorly. The study also used country-level control variables; investment freedom, idiosyncratic risk, uncertainty avoidance and GDP for the period 2001-20. Practical implications of the study include the significant role of liquidity and volatility in influencing the time-varying efficiency