Integration and efficiency for local and regional equity markets during the financial crisis

Lamia Sebai ()

Journal of Academic Finance, 2022, vol. 13, issue 1, 43-61

Abstract:

Objective: to study the link between the market integration and informational efficiency in the local and regional market, while taking into account the global financial crisis. \n

Method: the adjusted pricing error from an equilibrium international asset pricing model as a proxy for market integration. \n

Results : the markets that are more integrated with the US market are also more efficient. This association lost its explanatory power during the crisis period than their developed counterparts. \n

Originality / relevance: the first study to examine the integration and efficiency of local and regional markets taking into account periods of crisis.

JEL-codes: G3 M1 N8 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:jaf:journl:v:13:y:2022:i:1:n:505

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