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

Kian-Ping Lim and Chee-Wooi Hooy

Economics Bulletin, 2010, vol. 30, issue 2, 1609-1616

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.

Keywords: Informational efficiency; speed of adjustment; price delay; aggregate stock market (search for similar items in EconPapers)
JEL-codes: G1 N2 (search for similar items in EconPapers)
Date: 2010-06-04
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Citations: View citations in EconPapers (4)

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