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.

[img]
Preview
Text
ar0000000054.pdf

Download (86kB) | Preview

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

Actions (login required)

View Item View Item

Browse Repository
Collection
   Articles
   Book
   Speeches
   Thesis
   UMS News
Search
Quick Search

   Latest Repository

Link to other Malaysia University Institutional Repository

Malaysia University Institutional Repository