The effect of equity market uncertainty on informational efficiency: Cross-sectional evidence

Bart Frijns, Ivan Indriawan, Alireza Tourani-Rad and Hengbin Zhang

Global Finance Journal, 2023, vol. 57, issue C

Abstract: We study the effect of equity market uncertainty (EMUNC) on the informational efficiency of U.S. equity prices. Based on the findings, EMUNC negatively affects informational efficiency, i.e., as EMUNC increases, equity prices become less efficient. More importantly, this negative impact is heterogeneous in the cross-section of stocks, with a stronger negative impact on hard-to-arbitrage stocks. We also find that stocks with a higher historical uncertainty exposure are more sensitive to EMUNC.

Keywords: Equity market uncertainty; Informational efficiency; Cross-section (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:57:y:2023:i:c:s1044028323000492

DOI: 10.1016/j.gfj.2023.100854

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