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| Kian-ping Lim and Chee-wooi Hooy |
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| ''The delay of stock price adjustment to information: A country-level analysis'' |
| ( 2010, Vol. 30 No.2 ) |
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| This study measures the speed with which the aggregate stock market in 49 countries responds to global market-wide public information. Our empirical results show that there are wide variations in the aggregate price delay values over time and across countries. Subsequent panel analysis confirms previous firm-level evidence that market size, trading volume, short sales restrictions and the degree of investability are significant determinants of price delay even at the country level. |
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| Keywords: Informational efficiency, speed of adjustment, price delay, aggregate stock market |
JEL:
N2 - Economic History: Financial Markets and Institutions: General, International, or Comparative |
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| Manuscript Received : Jan 17 2010 | | Manuscript Accepted : Jun 04 2010 |
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