文章基本信息

标题：The delay of stock price adjustment to information: A country-level analysis
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作者：Kian-ping Lim ; Chee-wooi Hooy
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2010
卷号：30
期号：2
页码：1609-1616
出版社：Economics Bulletin
摘要：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