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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Official URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB...

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
ID Code:2848
Deposited By:IR Admin
Deposited On:04 May 2011 16:56
Last Modified:08 Sep 2014 11:44

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