Unveiling the Global Market Puzzle: Examining Stock Price Information Speed

30 Pages Posted: 22 Aug 2023

See all articles by Azadeh Erfanian

Azadeh Erfanian

University of Malaya (UM)

Mohamed Ariff

Bond University; University Putra Malaysia

Ishaq Bhatti

La Trobe University - School of Economics and Finance; Financial Research Network (FIRN)

Abstract

The process of stock price formation relies on investors acting upon value-relevant information, resulting in permanent price changes, while transitory noise information is disregarded. This paper aims to examine the speed at which all information arriving in a stock market is converted into permanent price changes, shedding light on the dynamics of global market behavior.It Utilizes the speed of adjustment metrics for 26 world markets, intriguing findings emerge, highlighting variations in adjustment speeds to value-relevant information across international marketplaces. The analysis reveals that some markets exhibit rapid adjustments within days, while others do so within a single day. Furthermore, a comparative study of major markets indicates a slower speed of adjustment in the pre-2000 era, in contrast to the higher speed observed in recent years, particularly those ending in 202

Keywords: Stock Prices, Stock Market Volatility, Financial markets, Price Adjustment, market efficiency

Suggested Citation

Erfanian, Azadeh and Ariff, Mohamed and Bhatti, Ishaq, Unveiling the Global Market Puzzle: Examining Stock Price Information Speed. Available at SSRN: https://ssrn.com/abstract=4548037 or http://dx.doi.org/10.2139/ssrn.4548037

Azadeh Erfanian

University of Malaya (UM) ( email )

Institute of Mathematical Sciences, Faculty of Sci
University of Malaya, Lembah Pantai
Kuala Lumpur, 50603
Malaysia

Mohamed Ariff

Bond University ( email )

Gold Coast, QLD 4229
Australia

University Putra Malaysia ( email )

Selangor Darul Ehsan
Serdang, Selangor 43400
Malaysia

Ishaq Bhatti (Contact Author)

La Trobe University - School of Economics and Finance ( email )

Bundoora
Melbourne, 3086
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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