Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/919338

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Title
What drives international equity market efficiency?
Author/Creator
Shamsuddin, Abul;  Kim, Jae H.
Institution
The University of Newcastle. Faculty of Business & Law, Newcastle Business School
Description
This study examines the informational efficiency of 53 international equity markets that are at different stages of development. The hypothesis of weak-form efficiency is tested using two non-parametric multiple variance ratio tests. To explain the cross market variation in relative efficiency, we have estimated ordered logit models, which include explanatory variables that govern the timely availability of price-sensitive information and the speedy utilization of that information by market participants. It is found that market liquidity, investor protection and the rule of law are the crucial factors that determine the cross-market variation in weak-form efficiency.
Relation
36th Annual Meeting of the Federation of Business Disciplines. Southwestern Finance Association Proceedings 2009 (Oklahoma City, OK 24-28 February, 2009)
Relation
http://www.fbdonline.org
Date
2009
Publisher
Federation of Business Disciplines
Keyword(s)
weak-form efficiency;  return predictability;  non-parametric variance ratio test;  international equity markets
Resource Type
conference paper
Identifier
http://hdl.handle.net/1959.13/919338
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"What drives international equity market efficiency?"
 
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