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The consequences of online information dissemination on stock market liquidity and efficiency: Implications on African markets

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  • Mlambo, Chipo
  • Biekpe, Nicholas

Abstract

From the Efficient Market Hypothesis, a market is efficient if security prices fully and correctly reflect all available information that is relevant for the stock’s pricing. This requires a medium of information dissemination and transaction ordering with both speed and accuracy. This paper chronologically presents arguments in favour of the internet as one such medium. The internet has also enabled the transmission and archiving of bulky information in a ready-to-use format. And abnormal returns are now quickly observed and arbitraged away to non-existence. Using correlation analysis, we find a positive relationship between the internet and some stock market development indicators.

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File URL: http://mpra.ub.uni-muenchen.de/24971/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24971.

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Date of creation: Oct 2003
Date of revision: Nov 2003
Publication status: Published in African Finance Journal 2.5(2003): pp. 44-62
Handle: RePEc:pra:mprapa:24971

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Related research

Keywords: Efficient market hypothesis; internet; online information; stock market; development indicators; Africa;

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References

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  1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  2. Palani-Rajan Kadapakkam, 2000. "Reduction of Constraints on Arbitrage Trading and Market Efficiency: An Examination of Ex-Day Returns in Hong Kong after Introduction of Electronic Settlement," Journal of Finance, American Finance Association, vol. 55(6), pages 2841-2861, December.
  3. P. C. Kumar & George Tsetsekos, 1999. "The differentiation of 'emerging' equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 443-453.
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Cited by:
  1. Enisan, Akinlo A. & Olufisayo, Akinlo O., 2009. "Stock market development and economic growth: Evidence from seven sub-Sahara African countries," Journal of Economics and Business, Elsevier, vol. 61(2), pages 162-171.

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