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Efficiency in stock markets is essential for economic stability and growth. This study investigates the efficiency and herding behavior of the stock markets from the top economies of the world (known as G20 countries). We classify stock market indices using MSCI classification for the developed...
Persistent link: https://www.econbiz.de/10014636008
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10002428035
This paper is amongst the first to investigate weak-form efficiency of the most developed (G-20) countries in the world. It also measures the impact of the 2007 financial crisis on the stock markets of these countries, in terms of their efficiency. Serial correlation test, ADF unit root test, Lo...
Persistent link: https://www.econbiz.de/10013058562
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...
Persistent link: https://www.econbiz.de/10013159145
On 3 July 2015, SUERF organized its sixth joint conference with the Bank of Finland in Helsinki on the subject of liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes, and a lunchtime address. The present SUERF Study...
Persistent link: https://www.econbiz.de/10011414459
The specific purpose of the Developing-8 economies is to integrate the endeavours of each member countries to excel economic cooperation and facilitation among the Islamic countries to enhance the investment opportunities and not to put pressure on the geopolitical environment of the world. The...
Persistent link: https://www.econbiz.de/10012854551
Market integration and informational efficiency of stock markets are key policy variables, yet have long been studied as separate concepts. In this article, we address the forthright question of whether a more integrated stock market is also a more informationally efficient market using a panel...
Persistent link: https://www.econbiz.de/10012931288
From the Efficient Market Hypothesis, a market is efficient if security prices fully and correctly reflect all available information that is relevant for the stock’s pricing. This requires a medium of information dissemination and transaction ordering with both speed and accuracy. This paper...
Persistent link: https://www.econbiz.de/10008685524
A literature review demonstrates credible evidence linking higher firm-specific stock return volatility to a more efficient stock market on one hand; and to higher firm-specific fundamentals volatility on the other. These results are reconciled if (1) market efficiency is interpreted as...
Persistent link: https://www.econbiz.de/10013082794
This study empirically investigates two effects of alternative data availability: stock price informativeness and its disciplining effect on managers' actions. Recent computing advancements have enabled technology companies to collect real-time, granular indicators of fundamentals to sell to...
Persistent link: https://www.econbiz.de/10012899541