 Is market integration associated with informational efficiency of stock markets?Chee-Wooi Hooy and Kian-Ping Lim Journal of Policy Modeling, 2013, vol. 35, issue 1, 29-44 Abstract: This study addresses the question of whether a more integrated stock market is associated with a higher degree of informational efficiency. We employ the adjusted pricing error from an equilibrium international asset pricing model as a proxy for market integration. The aggregate country-level price delay serves as an inverse measure of informational efficiency, as it captures the relative speed with which each aggregate stock market reacts to global common information. Using data from 49 countries, we find robust evidence supporting the hypothesis that markets more integrated with the world are also more efficient, and this positive association is only significant in the sub-sample of emerging stock markets. The results provide additional insight on the factors facilitating the transmission of global information and yield important policy implications. Keywords: Informational efficiency; Market integration; Financial liberalization; Price delay; Pricing error (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:35:y:2013:i:1:p:29-44 DOI: 10.1016/j.jpolmod.2012.09.002 Access Statistics for this article Journal of Policy Modeling is currently edited by A. M. Costa More articles in Journal of Policy Modeling from Elsevier |
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