 Speed of Price Adjustment towards Market Efficiency: Evidence from Emerging CountriesParthajit Kayal and S. Maheswaran Journal of Emerging Market Finance, 2018, vol. 17, issue 1_suppl, S112-S135 Abstract: The speed with which stock markets adjust to information and news flow into asset prices is of importance to investors, regulators and policymakers. In this article, we provide a simple and uniform empirical framework involving the use of a volatility measure to compare the speeds of adjustment in index prices in response to all available market information. The stock indices of 23 major emerging economies are compared with 10 mature stock indices from developed countries with reference to the speed of their price adjustments. We find that the index prices of developed countries adjust faster when compared to those of emerging countries. Our findings are independent of any GARCH specification and are also robust to potential mistakes in the model specification because we make use of a fully empirical bootstrap procedure to compute the standard errors. We also rank the countries in terms of the speed of index price adjustment. The results show that the random walk effect is generic and exists in all price indices. Keywords: Index price adjustment; market efficiency; emerging economies; random walk; extreme values (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:sae:emffin:v:17:y:2018:i:1_suppl:p:s112-s135 Access Statistics for this article More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research |
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