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 |
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| Keyword: | Stock price adjustment, Stock market |
| Subjects: | H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges |
| Department: | SCHOOL > School of Business and Economics |
| Depositing User: | ADMIN ADMIN |
| Date Deposited: | 04 May 2011 16:56 |
| Last Modified: | 16 Oct 2017 12:16 |
| URI: | https://eprints.ums.edu.my/id/eprint/2848 |
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