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Kian-ping Lim and Chee-wooi Hooy
 
''The delay of stock price adjustment to information: A country-level analysis''
( 2010, Vol. 30 No.2 )
 
 
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.
 
 
Keywords: Informational efficiency, speed of adjustment, price delay, aggregate stock market
JEL: G1 - General Financial Markets: General (includes Measurement and Data)
N2 - Economic History: Financial Markets and Institutions: General, International, or Comparative
 
Manuscript Received : Jan 17 2010 Manuscript Accepted : Jun 04 2010

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