marklag

Marklag is an informal term used in finance and economics to describe the delay between the arrival of new information and its full reflection in asset prices or mark-to-market valuations. It is not an officially standardized metric, but it is used to discuss the speed of price discovery and the frictions that can slow price adjustment in different markets.

The concept rests on the idea that markets do not instantly incorporate all new information. When news such as earnings results, macro data, or corporate announcements becomes available, traders reassess valuations, and prices adjust as traders place orders within the constraints of liquidity, trading hours, and other frictions. Marklag can vary by asset class, liquidity, time horizon (intraday versus overnight), and market structure. It can be conceptualized as the time needed for prices to move a specified portion of the new equilibrium after information release, or as the delay until prices reach a defined level of the new fair value.

Applications of the idea include evaluating price discovery efficiency, measuring the impact of liquidity interventions, and informing risk management and trading strategies. A shorter marklag is often associated with more active arbitrage and higher liquidity, while a longer lag may indicate information asymmetry or market frictions.

Limitations include lack of standardized measurement, sensitivity to what is labeled as “new information,” and potential conflation with other phenomena such as liquidity-driven moves or delayed order execution. See also price discovery, market microstructure, information asymmetry. References to marklag are typically found in informal discussions and practitioner commentary rather than formal academic consensus.