Kian-Ping Lim and Chee-Wooi Hooy
Economics Bulletin, 30(2), 1609-1616
Publication year: 2010

Abstract

This study measures the speed with which the aggregate stock market in 49 countries responds to global market-wide public information. Our empirical results show that there are wide variations in the aggregate price delay values over time and across countries. Subsequent panel analysis confirms previous firm-level evidence that market size, trading volume, short sales restrictions and the degree of inevitability are significant determinants of price delay even at the country level.

Keywords

Informational efficiency; Speed of adjustment; Price delay; Aggregate stock market