The delay of stock price adjustment to information: A country- level analysis

Lim, Kian Ping and Hooy, Chee Wooi (2010) The delay of stock price adjustment to information: A country- level analysis. Economics Bulletin, 30 (2). pp. 1-7.

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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 investability are significant determinants of price delay even at the country level.

Item Type: Article
Uncontrolled Keywords: Stock price adjustment, Stock market
Subjects: ?? HG4551-4598 ??
Divisions: SCHOOL > School of Business and Economics
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 04 May 2011 08:56
Last Modified: 16 Oct 2017 04:16
URI: http://eprints.ums.edu.my/id/eprint/2848

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