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.
Official URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB...
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.
|Uncontrolled Keywords:||Stock price adjustment, Stock market|
|Subjects:||?? HG4551-4598 ??|
|Divisions:||SCHOOL > School of Business and Economics|
|Deposited By:||IR Admin|
|Deposited On:||04 May 2011 16:56|
|Last Modified:||08 Sep 2014 11:44|
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