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Are no-trade periods indicative of information efficiency?

https://doi.org/10.2139/ssrn.4790380
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Outgoing claims: the papers this work cites, builds on, or argues with.

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On the aggregation of information in competitive markets
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Market microstructure
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Dealership market
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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
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Information, trading, and volatility
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Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
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ARCH modeling in finance
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The optimal strategies of competitive high-frequency traders and effects on market liquidity
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Idiosyncratic volatility: An indicator of noise trading?
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Evidence on the speed of convergence to market efficiency
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Asset pricing with liquidity risk
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A five-factor asset pricing model
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Retail trader sophistication and stock market quality: Evidence from brokerage outages
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Order imbalance, liquidity, and market returns
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Intraday periodicity and volatility persistence in financial markets
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Inferring investor behavior: Evidence from TORQ data
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Illiquidity and stock returns: cross-section and time-series effects
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Idiosyncratic Volatility and the Cross Section of Expected Returns
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Do Portfolio Distortions Reflect Superior Information or Psychological Biases?
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Asset Prices and Trading Volume under Fixed Transactions Costs
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Introduction to ITSA
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What Is the Optimal Trading Frequency in Financial Markets?
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A Theory of Intraday Patterns: Volume and Price Variability
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Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement
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The Effect of Stock Liquidity on the Firm's Investment and Production
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Does Algorithmic Trading Reduce Information Acquisition?
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The Competitive Landscape of High-Frequency Trading Firms
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High-Frequency Market Making to Large Institutional Trades
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Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
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Information Effects on the Bid-Ask Spread
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Measuring the Information Content of Stock Trades
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Time and the Process of Security Price Adjustment
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Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models
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An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05206.xopenalex-extracted
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00834.xopenalex-extracted
The Price Impact and Survival of Irrational Traders
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-extracted
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1911-3846.1995.tb00467.xopenalex-extracted
Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets*
inferredcites →https://doi.org/10.1111/jofi.12759openalex-extracted
High-Frequency Trading around Large Institutional Orders
inferredcites →https://doi.org/10.1111/jofi.12769openalex-extracted
Price Discovery without Trading: Evidence from Limit Orders
inferredcites →https://doi.org/10.1111/jofi.12882openalex-extracted
High-Frequency Trading and Market Performance
inferredcites →https://doi.org/10.1111/jofi.13183openalex-extracted
Attention‐Induced Trading and Returns: Evidence from Robinhood Users
inferredcites →https://doi.org/10.1111/jofi.13320openalex-extracted
Informed Trading Intensity
inferredcites →https://doi.org/10.1162/003355301556392openalex-extracted
Institutional Investors and Equity Prices
inferredcites →https://doi.org/10.1287/mnsc.2022.4502openalex-extracted
Tick Size, Trading Strategies and Market Quality
inferredcites →https://doi.org/10.1515/9781400830213openalex-extracted
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.2139/ssrn.270733openalex-extracted
Asset Prices and Trading Volume Under Fixed Transactions Costs
inferredcites →https://doi.org/10.2307/1910133openalex-extracted
Tests of Equality Between Sets of Coefficients in Two Linear Regressions
inferredcites →https://doi.org/10.2307/1913210openalex-extracted
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.2307/2330874openalex-extracted
The Relation Between Price Changes and Trading Volume: A Survey
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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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