Do Countries Matter for Information Diffusion in Financial Markets? Evidence from Global Supply-Chain Networks

64 Pages Posted: 4 Jan 2017

See all articles by Ling Cen

Ling Cen

The Chinese University of Hong Kong

Craig Doidge

University of Toronto - Rotman School of Management

Christoph Schiller

Arizona State University (ASU) - W.P. Carey School of Business

Date Written: December 31, 2016

Abstract

We document large cross-sectional variation in the speed of information diffusion between U.S. suppliers and their international principal customers. Based on the rigorous and comprehensive framework of risks in emerging markets from Karolyi (2015), we find that market operating efficiency is the predominant country-level characteristic among six major dimensions in explaining this cross-sectional variation. Our results are robust under both panel data analysis and a quasi-natural experiment using exogenous short-selling regulation changes. We suggest that country-level characteristics play an important and distinct role in determining the diffusion of firm-specific information in international financial markets. Our results indicate that stock price efficiency of U.S. firms is partially determined by the institutional and regulatory environment abroad.

Keywords: Information Diffusion, Supply Chains, Globalization, Supplier-Customer Relationships

JEL Classification: L14, G14, F36

Suggested Citation

Cen, Ling and Doidge, Craig and Schiller, Christoph, Do Countries Matter for Information Diffusion in Financial Markets? Evidence from Global Supply-Chain Networks (December 31, 2016). Available at SSRN: https://ssrn.com/abstract=2892090

Ling Cen (Contact Author)

The Chinese University of Hong Kong ( email )

CYT Building
Sha Tin
Hong Kong, Hong Kong
Hong Kong

HOME PAGE: http:///sites.google.com/site/cenling/

Craig Doidge

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6
Canada
416-946-8598 (Phone)

HOME PAGE: http://www.rotman.utoronto.ca/FacultyAndResearch/Faculty/FacultyBios/Doidge

Christoph Schiller

Arizona State University (ASU) - W.P. Carey School of Business ( email )

Tempe, AZ 85287-3706
United States

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