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The delay of stock price adjustment to information: A country-level analysis

Author

Listed:
  • Kian-ping Lim

    (Labuan School of International Business and Finance, Universiti Malaysia Sabah)

  • Chee-wooi Hooy

    (School of Management, Universiti Sains Malaysia)

Abstract

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.

Suggested Citation

  • Kian-ping Lim & Chee-wooi Hooy, 2010. "The delay of stock price adjustment to information: A country-level analysis," Economics Bulletin, AccessEcon, vol. 30(2), pages 1609-1616.
    • Handle: RePEc:ebl:ecbull:eb-10-00033
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    References listed on IDEAS

    as
    1. Paulo Alves & Ken Peasnell & Paul Taylor, 2010. "The Use of the R2 as a Measure of Firm‐Specific Information: A Cross‐Country Critique," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 1-26, January.
    2. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009. "Global private information in international equity markets," Journal of Financial Economics, Elsevier, vol. 94(1), pages 18-46, October.
    3. Jin, Li & Myers, Stewart C., 2006. "R2 around the world: New theory and new tests," Journal of Financial Economics, Elsevier, vol. 79(2), pages 257-292, February.
    4. John M. Griffin & Patrick J. Kelly & Federico Nardari, 2010. "Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 3225-3277, August.
    5. DeFond, Mark & Hung, Mingyi & Trezevant, Robert, 2007. "Investor protection and the information content of annual earnings announcements: International evidence," Journal of Accounting and Economics, Elsevier, vol. 43(1), pages 37-67, March.
    6. Kewei Hou & Tobias J. Moskowitz, 2005. "Market Frictions, Price Delay, and the Cross-Section of Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 981-1020.
    7. Nuno Fernandes & Miguel A. Ferreira, 2009. "Insider Trading Laws and Stock Price Informativeness," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1845-1887, May.
    8. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Hooy, Chee-Wooi & Lim, Kian-Ping, 2013. "Is market integration associated with informational efficiency of stock markets?," Journal of Policy Modeling, Elsevier, vol. 35(1), pages 29-44.
    2. Ailie Charteris & Conrad Alexander Steyn, 2023. "The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 225-240, May.
    3. Nicholas Addai Boamah, 2021. "Integration, investor protection rules and global informational inefficiency of emerging financial markets," SN Business & Economics, Springer, vol. 1(6), pages 1-22, June.
    4. Boamah, Nicholas Addai & Akotey, Joseph Oscar & Aaawaar, Godfred, 2020. "Economic engagement and within emerging markets integration," Research in International Business and Finance, Elsevier, vol. 52(C).

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    More about this item

    Keywords

    Informational efficiency; speed of adjustment; price delay; aggregate stock market;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • N2 - Economic History - - Financial Markets and Institutions

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