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Market Efficiency In U.S. Stock Markets: A Study Of The Dow 30 And The S&P 30, Colin Michael Van Oort
Market Efficiency In U.S. Stock Markets: A Study Of The Dow 30 And The S&P 30, Colin Michael Van Oort
Graduate College Dissertations and Theses
The U.S. National Market System (NMS), the largest marketplace in the world for securities and exchange traded funds, suffers from geographic market fragmentation which leads to reduced market efficiency.
Communication lines transmit price updates and other information between geographically isolated exchanges at varying speeds, bounded above by the speed of light.
Market participants have access to federally mandated information provided by the Securities Information Processor (SIP) and privately offered information provided by the exchanges, often called direct feeds.
These feeds are quantitatively and qualitatively distinct, with the direct feeds tending to provide more information at a faster rate than the …