Market tempo: Decoding information speed across global stock markets

Azadeh Erfanian, Mohamed Ariff and M. Ishaq Bhatti

International Review of Economics & Finance, 2024, vol. 96, issue PB

Abstract: This study explores the speed of information absorption in global stock markets using the Damodaran model. Analysing daily stock returns from 2005 to 2015 across 25 countries and 26 indices, the research categorizes markets into major, OECD, and emerging types. Major markets demonstrate the fastest adjustment, achieving a remarkable 1-day speed, followed by OECD markets with a 2–4-day span and emerging markets showing a 2–6-day duration for full information absorption. The results highlight significant mean speed variations across these market categories, offering practical insights for international businesses, corporations, and mutual funds navigating financial transactions globally. This study contributes valuable insights into information absorption speed, emphasizing the hierarchy of major, OECD, and emerging markets based on their speediness. Limitations include the exclusive focus on daily stock returns and the absence of specific diagnostic statistics for the Damodaran model.

Keywords: Stock prices; Stock market volatility; Financial markets; Price adjustment; Market efficiency (search for similar items in EconPapers)
JEL-codes: C32 F14 G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006270

DOI: 10.1016/j.iref.2024.103635

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