On the dynamics of international stock market efficiency

The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There is evidence that market efficiency increases over time at a decreasing rate.

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Year of publication:	2014
Authors:	Khaled, Mohammed S. ; Keef, Stephen P.
Published in:	Cogent Economics & Finance. - Abingdon : Taylor & Francis, ISSN 2332-2039. - Vol. 2.2014, 1, p. 1-11
Publisher:	Abingdon : Taylor & Francis
Subject:	market efficiency \| international \| stock indices \| panel model \| Granger causality

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1080/23322039.2014.923778 [DOI] 816867143 [GVK] hdl:10419/147714 [Handle] RePEc:taf:oaefxx:DOI:10.1080/23322039.2014.923778 [RePEc]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10011559119