Is Higher Market Integration Associated with Improved Market Efficiency?

This study addresses the question of whether a more integrated stock market is associated with a higher degree of informational efficiency. Generally, our measures for market integration and market efficiency both shows improvement over time and emerging markets are less integrated and less efficient as compared to their developed counterparts. Our empirical results based on panel regression show that there is a positive association between market integration and informational efficiency, even after controlling for standard determinants of price delay